V-Lab: RWE AG Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

RWE AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:21.96% (-0.41%)

Analysis last updated: Saturday, April 27, 2024 at 11:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3412	4.56
$α$	0.0811	8.04
$β$	0.8770	66.83
$γ_{1}$	0.1017	6.09
$γ_{2}$	-0.1537	-6.20
$γ_{3}$	0.0713	4.02
$γ_{4}$	-0.0108	-0.65
$γ_{5}$	-0.0259	-1.42
$γ_{6}$	0.0138	0.59

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts