V-Lab: BASF SE Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

BASF SE Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:28.36% (+6.18%)

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
$ω$	1.0083	4.90
$α$	0.0713	8.23
$β$	0.8922	71.53
$γ_{1}$	0.0205	0.52
$γ_{2}$	0.0064	0.11
$γ_{3}$	-0.1022	-3.23
$γ_{4}$	0.1583	5.97
$γ_{5}$	-0.1347	-5.00
$γ_{6}$	0.0586	2.11
$γ_{7}$	0.0328	1.12
$γ_{8}$	-0.1041	-2.24

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts