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

V-Lab

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V-Lab

DB Financial Investment Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:12.26% (-0.60%)

Analysis last updated: Thursday, May 16, 2024 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8498	6.56
$α$	0.1080	9.08
$β$	0.8334	46.01
$γ_{1}$	-0.0107	-0.28
$γ_{2}$	0.1115	1.99
$γ_{3}$	-0.2934	-7.57
$γ_{4}$	0.3558	9.57
$γ_{5}$	-0.2814	-7.08
$γ_{6}$	0.1845	4.37
$γ_{7}$	-0.0765	-1.68
$γ_{8}$	0.0093	0.17
$γ_{9}$	-0.0819	-0.91

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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