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

V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:37.65% (-1.42%)

Analysis last updated: Saturday, May 31, 2025 at 10:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0464	6.33
$α$	0.0746	8.22
$β$	0.8792	58.58
$γ_{1}$	0.0692	4.12
$γ_{2}$	-0.1121	-4.48
$γ_{3}$	0.0600	4.41
$γ_{4}$	-0.0244	-1.77
$γ_{5}$	0.0228	1.42
$γ_{6}$	-0.0272	-2.07

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts