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

V-Lab

| |

V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 29th, 2025:26.36% (+0.18%)

Analysis last updated: Wednesday, January 29, 2025 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9784	4.43
$α$	0.0612	8.98
$β$	0.9168	100.97
$γ_{1}$	0.0569	1.51
$γ_{2}$	-0.0162	-0.27
$γ_{3}$	-0.1372	-3.34
$γ_{4}$	0.1949	5.50
$γ_{5}$	-0.1709	-4.82
$γ_{6}$	0.1281	3.63
$γ_{7}$	-0.0975	-3.17
$γ_{8}$	0.0551	2.51

Estimation Period:
Jan 2, 1990 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts