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 Friday, May 23rd, 2025:32.71% (-0.41%)

Analysis last updated: Friday, May 23, 2025 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9771	4.39
$α$	0.0641	8.95
$β$	0.9126	96.18
$γ_{1}$	0.0582	1.59
$γ_{2}$	-0.0214	-0.37
$γ_{3}$	-0.1287	-3.24
$γ_{4}$	0.1868	5.49
$γ_{5}$	-0.1652	-4.95
$γ_{6}$	0.1245	3.68
$γ_{7}$	-0.0949	-3.15
$γ_{8}$	0.0533	2.48

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts