V-Lab: DB Financial Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

DB Financial Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:18.02% (-0.81%)

Analysis last updated: Wednesday, May 1, 2024 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9233	7.03
$α$	0.1070	9.19
$β$	0.8389	47.83
$γ_{1}$	0.0180	0.48
$γ_{2}$	0.0682	1.21
$γ_{3}$	-0.2679	-6.71
$γ_{4}$	0.3338	8.71
$γ_{5}$	-0.2577	-6.30
$γ_{6}$	0.1579	3.65
$γ_{7}$	-0.0423	-0.93
$γ_{8}$	-0.0513	-1.11
$γ_{9}$	0.0716	2.10

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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