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

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Volkswagen AG Zero Slope Spline-GARCH Volatility Analysis

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Volkswagen AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:31.80% (-0.71%)

Analysis last updated: Saturday, April 26, 2025 at 03:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

graph of Volkswagen AG S0GARCH

Volatility Summary Table

Closing Price:	€96.50	Return:	1.52%	1 Week Pred:	31.85%
Average Week Vol:	30.50%	Average Month Vol:	32.96%	1 Month Pred:	31.98%
Min Vol:	16.33%	Max Vol:	189.01%	6 Month Pred:	32.21%
Average Vol:	34.85%	Vol of Vol:	38.64%	1 Year Pred:	32.25%

Parameter Estimates

	param	t-stat
$ω$	1.0807	6.86
$α$	0.0946	8.49
$β$	0.8586	62.49
$γ_{1}$	-0.0479	-0.72
$γ_{2}$	0.1508	1.43
$γ_{3}$	-0.1803	-2.61
$γ_{4}$	0.0588	1.02
$γ_{5}$	0.1249	2.35
$γ_{6}$	-0.2345	-4.58
$γ_{7}$	0.2003	3.71
$γ_{8}$	-0.0782	-1.18
$γ_{9}$	-0.0033	-0.05
$γ_{10}$	0.0121	0.28

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts