V-Lab: Kocref Reit 8 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Kocref Reit 8 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 26th, 2014:24.67% (+1.11%)

Analysis last updated: Friday, January 29, 2016 at 03:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4903	4.14
$α$	0.3109	4.74
$β$	0.2866	2.58
$γ_{1}$	-0.2838	-2.44
$γ_{2}$	0.3887	2.36
$γ_{3}$	-0.1606	-1.79

Estimation Period:
Jun 15, 2006 to Dec 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts