V-Lab: Volkswagen AG Spline-GARCH Volatility Analysis

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V-Lab

Volkswagen AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:19.93% (-0.56%)

Analysis last updated: Sunday, April 21, 2024 at 12:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0048	6.48
$α$	0.0946	8.45
$β$	0.8568	58.83
$γ_{1}$	-0.0801	-1.12
$γ_{2}$	0.2005	1.76
$γ_{3}$	-0.1938	-2.54
$γ_{4}$	0.0280	0.45
$γ_{5}$	0.1814	3.32
$γ_{6}$	-0.2791	-4.89
$γ_{7}$	0.2247	3.19
$γ_{8}$	-0.1208	-1.33
$γ_{9}$	0.1077	1.18
$γ_{10}$	-0.2199	-2.23

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

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Volatility Forecasts

Volatility Forecasts