V-Lab: A Self-Administered Real Estate Investment Trust Inc Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

A Self-Administered Real Estate Investment Trust Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:0.00% (0.00%)

Analysis last updated: Sunday, April 21, 2024 at 12:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.5951	2.50
$α$	0.3931	24.20
$β$	0.6003	33.85
$γ_{1}$	-1.7794	-0.93
$γ_{2}$	2.8867	1.14
$γ_{3}$	-1.5347	-1.21
$γ_{4}$	-0.2307	-0.27
$γ_{5}$	1.6375	1.98
$γ_{6}$	-1.8262	-2.27
$γ_{7}$	2.7038	2.42
$γ_{8}$	-4.3848	-3.27
$γ_{9}$	5.1544	3.71
$γ_{10}$	-24.6329	-13.64

Estimation Period:
Jul 14, 2011 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other A Self-Administered Real Estate Investment Trust Inc Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH