V-Lab: Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 8th, 2025:61.76% (-0.43%)

Analysis last updated: Tuesday, April 8, 2025 at 11:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9821	4.38
$α$	0.0634	8.90
$β$	0.9142	97.45
$γ_{1}$	0.0574	1.54
$γ_{2}$	-0.0189	-0.32
$γ_{3}$	-0.1322	-3.25
$γ_{4}$	0.1896	5.42
$γ_{5}$	-0.1667	-4.83
$γ_{6}$	0.1247	3.59
$γ_{7}$	-0.0933	-3.04
$γ_{8}$	0.0509	2.35

Estimation Period:
Jan 2, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts