V-Lab: DenizBank AS Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DenizBank AS Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 15th, 2019:56.67% (-2.55%)

Analysis last updated: Thursday, November 14, 2019 at 07:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4468	4.29
$α$	0.2727	5.59
$β$	0.6541	12.70
$γ_{1}$	0.0901	1.66
$γ_{2}$	-0.1673	-2.21
$γ_{3}$	0.1737	3.24
$γ_{4}$	-0.1207	-1.40

Estimation Period:
Sep 30, 2004 to Nov 8, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts