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

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V-Lab

Volkswagen AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 7th, 2025:27.17% (+3.76%)

Analysis last updated: Tuesday, January 7, 2025 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0738	6.82
$α$	0.0957	8.44
$β$	0.8568	61.12
$γ_{1}$	-0.0515	-0.75
$γ_{2}$	0.1554	1.42
$γ_{3}$	-0.1766	-2.46
$γ_{4}$	0.0435	0.73
$γ_{5}$	0.1454	2.70
$γ_{6}$	-0.2483	-4.67
$γ_{7}$	0.2030	3.44
$γ_{8}$	-0.0777	-1.05
$γ_{9}$	0.0001	0.00
$γ_{10}$	0.0082	0.18

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts