V-Lab: Siemens AG Spline-GARCH Volatility Analysis

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V-Lab

Siemens AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:22.37% (+1.82%)

Analysis last updated: Saturday, November 9, 2024 at 10:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9354	7.14
$α$	0.0563	6.92
$β$	0.9038	65.83
$γ_{1}$	0.0169	0.27
$γ_{2}$	0.1037	1.02
$γ_{3}$	-0.2103	-2.63
$γ_{4}$	0.0117	0.16
$γ_{5}$	0.2432	4.50
$γ_{6}$	-0.3367	-7.32
$γ_{7}$	0.2922	5.34
$γ_{8}$	-0.1722	-3.05
$γ_{9}$	0.1102	1.95
$γ_{10}$	-0.1820	-2.31

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

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Volatility Forecasts