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 Tuesday, November 12th, 2024:42.23% (-0.69%)

Analysis last updated: Tuesday, November 12, 2024 at 08:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6861	5.55
$α$	0.0696	5.41
$β$	0.8877	41.90
$γ_{1}$	-0.0492	-3.56
$γ_{2}$	0.0776	3.94
$γ_{3}$	-0.0393	-3.90

Estimation Period:
Jan 31, 2005 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts