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

V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 25th, 2025:31.77% (-0.51%)

Analysis last updated: Wednesday, June 25, 2025 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0452	6.33
$α$	0.0749	8.21
$β$	0.8785	58.07
$γ_{1}$	0.0690	4.12
$γ_{2}$	-0.1118	-4.47
$γ_{3}$	0.0599	4.41
$γ_{4}$	-0.0242	-1.77
$γ_{5}$	0.0223	1.39
$γ_{6}$	-0.0266	-2.04

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts