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

V-Lab

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V-Lab

Deutsche Bank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:44.69% (-1.32%)

Analysis last updated: Saturday, May 4, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9875	4.55
$α$	0.0617	8.87
$β$	0.9165	99.59
$γ_{1}$	0.0562	1.40
$γ_{2}$	-0.0078	-0.12
$γ_{3}$	-0.1558	-3.53
$γ_{4}$	0.2139	5.38
$γ_{5}$	-0.1797	-4.29
$γ_{6}$	0.1180	2.89
$γ_{7}$	-0.0562	-1.31
$γ_{8}$	-0.0346	-0.48

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts