V-Lab: Bayer AG Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:34.89% (+0.95%)

Analysis last updated: Sunday, May 11, 2025 at 03:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0492	6.34
$α$	0.0754	8.19
$β$	0.8780	57.74
$γ_{1}$	0.0695	4.14
$γ_{2}$	-0.1124	-4.50
$γ_{3}$	0.0598	4.40
$γ_{4}$	-0.0239	-1.72
$γ_{5}$	0.0219	1.35
$γ_{6}$	-0.0261	-1.99

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts