V-Lab: Freehold Royalties Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Freehold Royalties Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:12.40% (-0.31%)

Analysis last updated: Friday, April 26, 2024 at 02:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6672	5.82
$α$	0.0698	6.63
$β$	0.9053	64.57
$γ_{1}$	-0.3454	-4.16
$γ_{2}$	0.5335	3.79
$γ_{3}$	-0.2291	-2.22
$γ_{4}$	-0.0233	-0.30
$γ_{5}$	0.1753	2.17
$γ_{6}$	-0.1912	-2.17
$γ_{7}$	0.1645	2.18
$γ_{8}$	-0.3509	-4.11

Estimation Period:
Feb 20, 1997 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts