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, March 5th, 2025:43.27% (+12.27%)

Analysis last updated: Wednesday, March 5, 2025 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9784	4.42
$α$	0.0611	8.98
$β$	0.9169	101.28
$γ_{1}$	0.0573	1.54
$γ_{2}$	-0.0178	-0.30
$γ_{3}$	-0.1349	-3.31
$γ_{4}$	0.1927	5.49
$γ_{5}$	-0.1694	-4.86
$γ_{6}$	0.1275	3.65
$γ_{7}$	-0.0975	-3.19
$γ_{8}$	0.0555	2.57

Estimation Period:
Jan 2, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts