V-Lab: Equity Residential Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Equity Residential Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:23.78% (-0.92%)

Analysis last updated: Friday, April 26, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3941	3.87
$α$	0.0886	7.92
$β$	0.8719	57.82
$γ_{1}$	0.0881	1.24
$γ_{2}$	-0.0711	-0.72
$γ_{3}$	-0.0480	-0.86
$γ_{4}$	0.1562	3.06
$γ_{5}$	-0.3345	-5.68
$γ_{6}$	0.3481	5.35
$γ_{7}$	-0.2018	-3.08
$γ_{8}$	0.1327	2.29
$γ_{9}$	-0.1091	-2.99

Estimation Period:
Aug 12, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts