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

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V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:30.64% (+0.09%)

Analysis last updated: Thursday, November 21, 2024 at 12:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9791	4.47
$α$	0.0613	8.97
$β$	0.9165	100.38
$γ_{1}$	0.0571	1.51
$γ_{2}$	-0.0152	-0.26
$γ_{3}$	-0.1406	-3.38
$γ_{4}$	0.1987	5.50
$γ_{5}$	-0.1732	-4.72
$γ_{6}$	0.1274	3.52
$γ_{7}$	-0.0921	-2.94
$γ_{8}$	0.0479	2.12

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts