V-Lab: Kocref Reit15 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Kocref Reit15 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 16th, 2015:30.23% (-1.32%)

Analysis last updated: Friday, January 29, 2016 at 02:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3543	4.55
$α$	0.2157	2.99
$β$	0.2684	1.71
$γ_{1}$	1.8029	1.09
$γ_{2}$	-2.0736	-0.83
$γ_{3}$	0.3664	0.22
$γ_{4}$	0.7051	0.49
$γ_{5}$	-2.6233	-2.05
$γ_{6}$	2.4152	2.42

Estimation Period:
Jan 29, 2010 to Oct 8, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts