V-Lab: Oberbank AG Spline-GARCH Volatility Analysis

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V-Lab

Oberbank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:2.15% (-0.03%)

Analysis last updated: Thursday, May 2, 2024 at 03:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.0771	4.54
$α$	0.2421	7.66
$β$	0.7133	24.82
$γ_{1}$	-0.0286	-0.44
$γ_{2}$	0.1505	1.41
$γ_{3}$	-0.1673	-1.75
$γ_{4}$	0.0297	0.35
$γ_{5}$	0.0585	0.70
$γ_{6}$	-0.1394	-1.35
$γ_{7}$	0.2100	1.52
$γ_{8}$	-0.2366	-1.81
$γ_{9}$	0.2926	3.33
$γ_{10}$	-0.2667	-2.46

Estimation Period:
Jan 2, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts