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

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V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:58.39% (-3.07%)

Analysis last updated: Thursday, November 21, 2024 at 12:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0675	6.32
$α$	0.0729	8.07
$β$	0.8839	60.63
$γ_{1}$	0.0720	4.19
$γ_{2}$	-0.1153	-4.55
$γ_{3}$	0.0600	4.31
$γ_{4}$	-0.0245	-1.58
$γ_{5}$	0.0244	1.40
$γ_{6}$	-0.0287	-2.07

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts