V-Lab: LANXESS AG Spline-GARCH Volatility Analysis

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V-Lab

LANXESS AG Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:46.21% (-0.63%)

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
$ω$	0.7136	5.64
$α$	0.0693	5.46
$β$	0.8889	42.51
$γ_{1}$	-0.0415	-2.94
$γ_{2}$	0.0605	2.90
$γ_{3}$	-0.0085	-0.40

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts