V-Lab: Deutsche Postbank AG Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Deutsche Postbank AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 22nd, 2015:7.33% (-0.53%)

Analysis last updated: Friday, January 29, 2016 at 03:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4637	3.21
$α$	0.2642	6.25
$β$	0.6400	16.34
$γ_{1}$	-0.7772	-2.14
$γ_{2}$	1.6771	2.88
$γ_{3}$	-2.0116	-3.94
$γ_{4}$	1.4806	3.38
$γ_{5}$	-0.3124	-0.84
$γ_{6}$	-0.1363	-0.36
$γ_{7}$	0.2002	0.66

Estimation Period:
Jun 22, 2004 to Dec 18, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts