V-Lab
Deutsche Bank AG MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, August 7th, 2026
1 Day
29.49%
decreased by 1.42%
1 Week
29.78%
decreased by 1.13%
1 Month
30.93%
increased by 0.02%
Analysis last updated: Friday, August 7, 2026 at 06:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 13329 trading days (~52.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
MEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0346 | 9.81*** |
α ARCH Response to squared shocks | 0.1744 | 57.82*** |
β GARCH Volatility persistence | 0.8255 | 389.39*** |
Persistence:
1.000
Half-life:
13329 days
Other Deutsche Bank AG Analyses
Other MEM Analyses on International Equities