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

V-Lab

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V-Lab

Deutsche Postbank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 22nd, 2015:5.68% (-0.64%)

Analysis last updated: Friday, January 29, 2016 at 03:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4489	3.28
$α$	0.2541	6.26
$β$	0.6416	15.76
$γ_{1}$	-0.7816	-2.17
$γ_{2}$	1.6895	2.96
$γ_{3}$	-2.0376	-4.12
$γ_{4}$	1.5423	3.61
$γ_{5}$	-0.4593	-1.23
$γ_{6}$	0.2135	0.51
$γ_{7}$	-0.6890	-1.24

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts