V-Lab: Trus Y 7 REIT Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Trus Y 7 REIT Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 15th, 2019:16.70% (-0.44%)

Analysis last updated: Friday, April 12, 2019 at 07:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4708	3.74
$α$	0.3814	3.22
$β$	0.2463	2.29
$γ_{1}$	4.5799	1.51
$γ_{2}$	-0.5693	-0.10
$γ_{3}$	-8.6445	-1.54
$γ_{4}$	6.3534	1.30
$γ_{5}$	0.0526	0.01
$γ_{6}$	-2.3480	-0.40
$γ_{7}$	-3.1687	-0.62
$γ_{8}$	6.6537	1.98
$γ_{9}$	-4.9167	-1.60
$γ_{10}$	3.4200	1.33

Estimation Period:
Oct 3, 2011 to Apr 12, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts