V-Lab: ABN AMRO Group NV Spline-GARCH Volatility Analysis

V-Lab

ABN AMRO Group NV Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 20th, 2025:30.57% (-2.17%)

Analysis last updated: Tuesday, May 20, 2025 at 11:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2328	7.98
$α$	0.1202	3.80
$β$	0.7515	13.52
$γ_{1}$	0.2803	5.46
$γ_{2}$	-0.4399	-5.00
$γ_{3}$	0.2050	1.78

Estimation Period:
Nov 19, 2015 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts