V-Lab: Kocref Reit15 AGARCH Volatility Analysis

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V-Lab

Kocref Reit15 AGARCH Volatility Analysis

Volatility Prediction for Friday, October 16th, 2015:43.97% (-0.35%)

Analysis last updated: Thursday, October 15, 2015 at 07:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0011	-1.31
$α$	0.0185	9.54
$β$	0.9842	509.16
$γ$	0.3485	7.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts