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 Thursday, May 8th, 2025:42.36% (-1.48%)

Analysis last updated: Thursday, May 8, 2025 at 10:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9796	4.38
$α$	0.0634	8.92
$β$	0.9140	97.24
$γ_{1}$	0.0579	1.57
$γ_{2}$	-0.0205	-0.35
$γ_{3}$	-0.1298	-3.23
$γ_{4}$	0.1875	5.43
$γ_{5}$	-0.1655	-4.88
$γ_{6}$	0.1244	3.63
$γ_{7}$	-0.0940	-3.09
$γ_{8}$	0.0521	2.41

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts