V-Lab: FGN Real Estate Development Investment Trust Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

FGN Real Estate Development Investment Trust Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 29th, 2014:377.38% (-33.92%)

Analysis last updated: Friday, January 29, 2016 at 02:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8589	4.89
$α$	0.2091	4.02
$β$	0.6090	6.48
$γ_{1}$	2.1113	1.54
$γ_{2}$	-1.8661	-0.85
$γ_{3}$	-0.8358	-0.46
$γ_{4}$	-0.3899	-0.17
$γ_{5}$	8.9517	1.64

Estimation Period:
May 3, 2010 to Oct 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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