V-Lab: Bayer AG MF2-GARCH Volatility Analysis

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V-Lab

Bayer AG MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:30.91% (-0.94%)

Analysis last updated: Tuesday, November 12, 2024 at 08:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0277	10.03
$β$	0.8281	160.98
$γ$	0.1120	24.77
$λ_{1}$	0.0141	3.55
$λ_{2}$	0.0172	4.01
$λ_{3}$	0.9786	184.44

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts