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 Wednesday, November 20th, 2024:27.56% (-0.51%)

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
$ω$	1.0721	6.83
$α$	0.0956	8.43
$β$	0.8569	61.05
$γ_{1}$	-0.0520	-0.74
$γ_{2}$	0.1561	1.41
$γ_{3}$	-0.1751	-2.40
$γ_{4}$	0.0382	0.63
$γ_{5}$	0.1522	2.81
$γ_{6}$	-0.2522	-4.67
$γ_{7}$	0.2031	3.32
$γ_{8}$	-0.0783	-1.01
$γ_{9}$	0.0060	0.08
$γ_{10}$	0.0003	0.01

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

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