V-Lab: Siemens AG Spline-GARCH Volatility Analysis

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V-Lab

Siemens AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.73% (+0.22%)

Analysis last updated: Saturday, April 20, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9246	7.45
$α$	0.0559	6.67
$β$	0.9007	60.93
$γ_{1}$	0.0162	0.26
$γ_{2}$	0.1036	1.00
$γ_{3}$	-0.1946	-2.34
$γ_{4}$	-0.0312	-0.41
$γ_{5}$	0.2981	5.48
$γ_{6}$	-0.3821	-7.75
$γ_{7}$	0.3211	5.73
$γ_{8}$	-0.1957	-3.61
$γ_{9}$	0.1461	2.76
$γ_{10}$	-0.2343	-2.74

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

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Volatility Forecasts

Volatility Forecasts