V-Lab: Deutsche Bank AG MF2-GARCH Volatility Analysis

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V-Lab

Deutsche Bank AG MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:45.74% (-1.82%)

Analysis last updated: Saturday, May 4, 2024 at 10:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0418	17.15
$β$	0.8901	124.23
$γ$	0.0464	12.70
$λ_{1}$	0.0094	4.63
$λ_{2}$	0.0248	3.11
$λ_{3}$	0.9732	113.85

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts