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

V-Lab

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V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:46.49% (-1.26%)

Analysis last updated: Saturday, May 4, 2024 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9814	4.43
$α$	0.0611	8.95
$β$	0.9181	102.47
$γ_{1}$	0.0529	1.31
$γ_{2}$	-0.0037	-0.06
$γ_{3}$	-0.1559	-3.47
$γ_{4}$	0.2120	5.22
$γ_{5}$	-0.1797	-4.22
$γ_{6}$	0.1263	3.14
$γ_{7}$	-0.0837	-2.48
$γ_{8}$	0.0377	1.54

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

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Volatility Forecasts

Volatility Forecasts