V-Lab: Cromwell Property Group Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Cromwell Property Group Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:30.20% (+1.50%)

Analysis last updated: Wednesday, May 1, 2024 at 04:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7608	2.58
$α$	0.1037	8.30
$β$	0.8805	71.02
$γ_{1}$	-0.2903	-5.28
$γ_{2}$	0.4338	5.59
$γ_{3}$	-0.1888	-4.35
$γ_{4}$	0.0966	2.58
$γ_{5}$	-0.0818	-3.10

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts