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 Tuesday, January 7th, 2025:32.77% (+3.91%)

Analysis last updated: Tuesday, January 7, 2025 at 09:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0576	6.35
$α$	0.0755	8.10
$β$	0.8781	57.46
$γ_{1}$	0.0710	4.20
$γ_{2}$	-0.1142	-4.57
$γ_{3}$	0.0597	4.38
$γ_{4}$	-0.0238	-1.61
$γ_{5}$	0.0225	1.34
$γ_{6}$	-0.0266	-1.96

Estimation Period:
Jan 2, 1990 to Jan 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts