V-Lab: GGP Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

GGP Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 28th, 2018:14.01% (-0.06%)

Analysis last updated: Monday, August 27, 2018 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5804	4.19
$α$	0.1048	7.19
$β$	0.8727	58.44
$γ_{1}$	0.0030	0.17
$γ_{2}$	0.0227	0.82
$γ_{3}$	-0.0627	-2.75
$γ_{4}$	0.0531	3.06

Estimation Period:
Apr 9, 1993 to Aug 24, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts