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

V-Lab

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V-Lab

Deutsche Lufthansa AG Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:26.54% (-0.49%)

Analysis last updated: Tuesday, November 12, 2024 at 08:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1858	7.03
$α$	0.0420	6.36
$β$	0.9328	92.41
$γ_{1}$	-0.0358	-1.19
$γ_{2}$	0.1012	2.02
$γ_{3}$	-0.1428	-4.04
$γ_{4}$	0.1434	5.31
$γ_{5}$	-0.0960	-2.99
$γ_{6}$	0.0420	0.95
$γ_{7}$	-0.0067	-0.15
$γ_{8}$	-0.0772	-1.45

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts