V-Lab: Kocref Reit15 Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Kocref Reit15 Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 16th, 2015:41.77% (-2.32%)

Analysis last updated: Friday, January 29, 2016 at 02:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3717	4.23
$α$	0.2416	2.75
$β$	0.3869	2.21
$γ_{1}$	1.8059	1.01
$γ_{2}$	-2.0790	-0.76
$γ_{3}$	0.3152	0.17
$γ_{4}$	1.0159	0.64
$γ_{5}$	-3.7321	-2.26
$γ_{6}$	5.4113	1.63

Estimation Period:
Jan 29, 2010 to Oct 8, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts