V-Lab: BASF SE MF2-GARCH Volatility Analysis

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V-Lab

BASF SE MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:32.70% (-1.46%)

Analysis last updated: Thursday, November 21, 2024 at 12:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0244	8.67
$β$	0.8473	136.42
$γ$	0.0961	21.45
$λ_{1}$	0.0153	3.07
$λ_{2}$	0.0271	3.73
$λ_{3}$	0.9671	108.95

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts