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 30th, 2025:33.59% (-1.01%)

Analysis last updated: Friday, May 30, 2025 at 09:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9777	4.39
$α$	0.0641	8.96
$β$	0.9127	96.62
$γ_{1}$	0.0584	1.60
$γ_{2}$	-0.0219	-0.38
$γ_{3}$	-0.1280	-3.22
$γ_{4}$	0.1860	5.48
$γ_{5}$	-0.1646	-4.95
$γ_{6}$	0.1242	3.68
$γ_{7}$	-0.0948	-3.14
$γ_{8}$	0.0535	2.49

Estimation Period:
Jan 2, 1990 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts