V-Lab: New York REIT Liquidating LLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

New York REIT Liquidating LLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 5th, 2018:13.09% (+1.49%)

Analysis last updated: Friday, November 2, 2018 at 11:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1182	3.81
$α$	0.4538	1.77
$β$	0.0000	0.00
$γ_{1}$	1.4634	0.84
$γ_{2}$	-2.0735	-0.80
$γ_{3}$	1.5465	0.86
$γ_{4}$	-5.4485	-2.54
$γ_{5}$	12.3984	4.49
$γ_{6}$	-14.5403	-4.50
$γ_{7}$	9.0282	3.63

Estimation Period:
Apr 15, 2014 to Nov 2, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts