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

V-Lab

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V-Lab

DVB Bank SE Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, August 18th, 2017:29.84% (-0.14%)

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
$ω$	1.0660	2.62
$α$	0.2338	7.95
$β$	0.7322	23.35
$γ_{1}$	-0.2263	-2.71
$γ_{2}$	0.3336	2.78
$γ_{3}$	-0.1627	-1.65
$γ_{4}$	0.1625	1.32
$γ_{5}$	-0.2730	-2.11
$γ_{6}$	0.2930	2.50
$γ_{7}$	-0.2540	-1.86
$γ_{8}$	0.5147	3.44

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts