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

V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:33.33% (-0.97%)

Analysis last updated: Thursday, June 19, 2025 at 09:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0534	6.38
$α$	0.0739	8.20
$β$	0.8804	59.08
$γ_{1}$	0.0697	4.16
$γ_{2}$	-0.1127	-4.51
$γ_{3}$	0.0602	4.42
$γ_{4}$	-0.0244	-1.78
$γ_{5}$	0.0227	1.41
$γ_{6}$	-0.0271	-2.07

Estimation Period:
Jan 2, 1990 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts