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

V-Lab

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V-Lab

Deutsche Lufthansa AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:33.66% (-0.85%)

Analysis last updated: Saturday, April 20, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1737	7.05
$α$	0.0428	6.27
$β$	0.9310	89.00
$γ_{1}$	-0.0403	-1.28
$γ_{2}$	0.1095	2.12
$γ_{3}$	-0.1493	-4.18
$γ_{4}$	0.1457	5.23
$γ_{5}$	-0.0920	-2.66
$γ_{6}$	0.0311	0.70
$γ_{7}$	0.0143	0.33
$γ_{8}$	-0.1068	-1.95

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts