V-Lab: Trus Y 7 REIT Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Trus Y 7 REIT Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 15th, 2019:20.71% (-0.39%)

Analysis last updated: Friday, April 12, 2019 at 07:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4665	3.77
$α$	0.3751	3.31
$β$	0.2531	2.34
$γ_{1}$	4.5595	1.51
$γ_{2}$	-0.5085	-0.09
$γ_{3}$	-8.7367	-1.57
$γ_{4}$	6.4566	1.33
$γ_{5}$	-0.0495	-0.01
$γ_{6}$	-2.2135	-0.38
$γ_{7}$	-3.4351	-0.67
$γ_{8}$	7.2202	2.05
$γ_{9}$	-6.1499	-1.59
$γ_{10}$	6.5067	1.22

Estimation Period:
Oct 3, 2011 to Apr 12, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts