V-Lab: LANXESS AG Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

LANXESS AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:40.89% (-1.40%)

Analysis last updated: Thursday, November 21, 2024 at 12:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6862	5.56
$α$	0.0697	5.43
$β$	0.8876	42.03
$γ_{1}$	-0.0491	-3.57
$γ_{2}$	0.0775	3.95
$γ_{3}$	-0.0393	-3.92

Estimation Period:
Jan 31, 2005 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts