V-Lab: BASF SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BASF SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:30.00% (+5.68%)

Analysis last updated: Saturday, April 27, 2024 at 11:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1579	5.78
$α$	0.0706	8.26
$β$	0.8969	76.40
$γ_{1}$	0.0592	3.09
$γ_{2}$	-0.1071	-3.72
$γ_{3}$	0.0870	5.03
$γ_{4}$	-0.0695	-4.64
$γ_{5}$	0.0577	3.91
$γ_{6}$	-0.0406	-3.68

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts