V-Lab: ThyssenKrupp AG Spline-GARCH Volatility Analysis

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V-Lab

ThyssenKrupp AG Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:51.75% (-1.53%)

Analysis last updated: Tuesday, November 12, 2024 at 08:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8085	5.22
$α$	0.0713	7.50
$β$	0.8939	62.84
$γ_{1}$	-0.0709	-1.47
$γ_{2}$	0.1918	2.57
$γ_{3}$	-0.2568	-4.57
$γ_{4}$	0.2264	4.36
$γ_{5}$	-0.1136	-2.31
$γ_{6}$	-0.0009	-0.02
$γ_{7}$	0.0732	1.38
$γ_{8}$	-0.0654	-0.90
$γ_{9}$	-0.0536	-0.59

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts