V-Lab: Tsim Sha Tsui Properties Ltd Spline-GARCH Volatility Analysis

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V-Lab

Tsim Sha Tsui Properties Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:30.30% (-5.85%)

Analysis last updated: Sunday, April 21, 2024 at 12:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2857	5.27
$α$	0.2353	6.72
$β$	0.6028	12.60
$γ_{1}$	0.0062	0.02
$γ_{2}$	0.0062	0.02
$γ_{3}$	-0.2959	-1.18
$γ_{4}$	0.8920	3.43
$γ_{5}$	-1.1685	-3.67
$γ_{6}$	0.7322	2.06
$γ_{7}$	-0.4197	-1.63
$γ_{8}$	0.9735	4.27
$γ_{9}$	-1.3037	-4.25
$γ_{10}$	0.8670	1.93

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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