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, March 5th, 2025:37.66% (-0.34%)

Analysis last updated: Wednesday, March 5, 2025 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0547	6.34
$α$	0.0749	8.09
$β$	0.8789	57.84
$γ_{1}$	0.0703	4.17
$γ_{2}$	-0.1132	-4.53
$γ_{3}$	0.0597	4.38
$γ_{4}$	-0.0236	-1.64
$γ_{5}$	0.0216	1.31
$γ_{6}$	-0.0257	-1.92

Estimation Period:
Jan 2, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts