V-Lab: Kocref Reit 8 Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Kocref Reit 8 Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 26th, 2014:22.74% (+1.17%)

Analysis last updated: Friday, January 29, 2016 at 02:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4796	4.08
$α$	0.2988	5.11
$β$	0.2932	2.68
$γ_{1}$	-0.3048	-2.40
$γ_{2}$	0.4379	2.14
$γ_{3}$	-0.2568	-0.97

Estimation Period:
Jun 15, 2006 to Dec 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts