V-Lab: DVB Bank SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DVB Bank SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, August 18th, 2017:15.23% (-0.25%)

Analysis last updated: Thursday, August 17, 2017 at 08:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0889	2.52
$α$	0.2391	7.27
$β$	0.7301	21.53
$γ_{1}$	-0.2229	-2.64
$γ_{2}$	0.3182	2.65
$γ_{3}$	-0.1363	-1.38
$γ_{4}$	0.1299	1.06
$γ_{5}$	-0.2244	-1.73
$γ_{6}$	0.2023	1.67
$γ_{7}$	-0.0485	-0.32
$γ_{8}$	-0.0368	-0.28

Estimation Period:
Jan 2, 1990 to Aug 11, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts