V-Lab: Frasers Property AHL Ltd GAS-GARCH Student T Volatility Analysis

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V-Lab

Frasers Property AHL Ltd GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Thursday, October 2nd, 2014:11.94% (-0.31%)

Analysis last updated: Monday, March 1, 2021 at 07:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	6.6350	8.63
$α$	0.0526	62.95
$β$	0.9979	4641.41
$ν$	4	39.09

Estimation Period:
Jun 16, 1997 to Sep 26, 2014