V-Lab: Oberbank AG Spline-GARCH Volatility Analysis

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V-Lab

Oberbank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:1.91% (0.00%)

Analysis last updated: Thursday, May 16, 2024 at 08:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.0109	4.54
$α$	0.2421	7.63
$β$	0.7122	24.61
$γ_{1}$	-0.0328	-0.50
$γ_{2}$	0.1568	1.48
$γ_{3}$	-0.1717	-1.81
$γ_{4}$	0.0333	0.40
$γ_{5}$	0.0566	0.68
$γ_{6}$	-0.1394	-1.36
$γ_{7}$	0.2129	1.54
$γ_{8}$	-0.2435	-1.85
$γ_{9}$	0.3071	3.48
$γ_{10}$	-0.3069	-2.87

Estimation Period:
Jan 2, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts