V-Lab: AvalonBay Communities Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AvalonBay Communities Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.46% (-0.10%)

Analysis last updated: Friday, April 19, 2024 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9392	6.46
$α$	0.1129	10.08
$β$	0.8430	59.53
$γ_{1}$	0.0121	0.78
$γ_{2}$	0.0131	0.60
$γ_{3}$	-0.0715	-4.76
$γ_{4}$	0.0832	5.53
$γ_{5}$	-0.0493	-4.42

Estimation Period:
Mar 11, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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