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

V-Lab

Deutsche Bank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 23rd, 2025:30.21% (-0.40%)

Analysis last updated: Friday, May 23, 2025 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9900	4.50
$α$	0.0651	8.90
$β$	0.9111	94.45
$γ_{1}$	0.0614	1.68
$γ_{2}$	-0.0253	-0.44
$γ_{3}$	-0.1291	-3.27
$γ_{4}$	0.1894	5.63
$γ_{5}$	-0.1672	-5.06
$γ_{6}$	0.1214	3.59
$γ_{7}$	-0.0792	-2.23
$γ_{8}$	0.0031	0.05

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts