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, November 12th, 2024:29.73% (-0.21%)

Analysis last updated: Tuesday, November 12, 2024 at 08:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9524	5.73
$α$	0.0759	8.00
$β$	0.8812	60.83
$γ_{1}$	0.0396	2.92
$γ_{2}$	-0.0707	-3.20
$γ_{3}$	0.0456	2.97
$γ_{4}$	-0.0117	-1.08
$γ_{5}$	-0.0081	-0.98

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts