V-Lab: Volkswagen AG MF2-GARCH Volatility Analysis

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Volkswagen AG MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:26.17% (-0.44%)

Analysis last updated: Thursday, November 21, 2024 at 12:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0698	21.01
$β$	0.8029	101.37
$γ$	0.0772	15.07
$λ_{1}$	0.0313	4.58
$λ_{2}$	0.0334	5.12
$λ_{3}$	0.9597	121.13

Estimation Period:
Jan 2, 1990 to Nov 15, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts