V-Lab: H&R Real Estate Investment Trust MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

H&R Real Estate Investment Trust MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:20.60% (+2.48%)

Analysis last updated: Wednesday, May 8, 2024 at 08:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0996	19.65
$β$	0.6350	54.60
$γ$	0.1798	17.91
$λ_{1}$	0.0062	4.04
$λ_{2}$	0.0356	6.75
$λ_{3}$	0.9611	154.02

Estimation Period:
Dec 26, 1997 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts