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

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V-Lab

ThyssenKrupp AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:50.19% (+5.84%)

Analysis last updated: Saturday, April 27, 2024 at 11:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8979	5.69
$α$	0.0720	7.28
$β$	0.8937	61.49
$γ_{1}$	-0.0159	-0.43
$γ_{2}$	0.0833	1.49
$γ_{3}$	-0.1618	-4.19
$γ_{4}$	0.1795	5.01
$γ_{5}$	-0.1434	-3.99
$γ_{6}$	0.0955	2.05
$γ_{7}$	-0.0415	-0.87
$γ_{8}$	-0.0078	-0.27

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts