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

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V-Lab

RWE AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:33.17% (-0.87%)

Analysis last updated: Thursday, November 21, 2024 at 12:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3040	4.50
$α$	0.0806	8.01
$β$	0.8766	66.38
$γ_{1}$	0.0953	5.95
$γ_{2}$	-0.1451	-6.22
$γ_{3}$	0.0691	4.19
$γ_{4}$	-0.0115	-0.74
$γ_{5}$	-0.0275	-1.71
$γ_{6}$	0.0280	2.33

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts