V-Lab: FGN Real Estate Development Investment Trust Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

FGN Real Estate Development Investment Trust Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 29th, 2014:274.53% (-25.18%)

Analysis last updated: Friday, January 29, 2016 at 03:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8749	3.65
$α$	0.2267	3.93
$β$	0.5311	4.90
$γ_{1}$	2.8758	0.56
$γ_{2}$	-1.2207	-0.17
$γ_{3}$	-3.2012	-0.78
$γ_{4}$	3.5715	0.79
$γ_{5}$	-4.1871	-0.85
$γ_{6}$	-0.6258	-0.11
$γ_{7}$	13.7774	1.69
$γ_{8}$	-18.1999	-2.32

Estimation Period:
May 3, 2010 to Oct 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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