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

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V-Lab

Siemens AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 7th, 2025:25.26% (+3.02%)

Analysis last updated: Tuesday, January 7, 2025 at 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9618	7.02
$α$	0.0566	7.20
$β$	0.9075	71.17
$γ_{1}$	0.0251	0.39
$γ_{2}$	0.0892	0.84
$γ_{3}$	-0.2044	-2.43
$γ_{4}$	0.0215	0.28
$γ_{5}$	0.2189	3.83
$γ_{6}$	-0.3049	-6.50
$γ_{7}$	0.2568	4.61
$γ_{8}$	-0.1280	-2.21
$γ_{9}$	0.0359	0.66
$γ_{10}$	-0.0211	-0.58

Estimation Period:
Jan 2, 1990 to Jan 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts