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 Tuesday, January 7th, 2025:37.24% (+1.25%)

Analysis last updated: Tuesday, January 7, 2025 at 09:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8512	5.47
$α$	0.0708	7.62
$β$	0.8957	64.73
$γ_{1}$	-0.0536	-1.10
$γ_{2}$	0.1623	2.15
$γ_{3}$	-0.2345	-4.13
$γ_{4}$	0.2095	3.98
$γ_{5}$	-0.1027	-2.06
$γ_{6}$	-0.0111	-0.25
$γ_{7}$	0.0937	1.83
$γ_{8}$	-0.1130	-1.74
$γ_{9}$	0.0576	1.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts