V-Lab: RioCan Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

RioCan Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:19.58% (-0.30%)

Analysis last updated: Friday, April 26, 2024 at 02:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6021	5.77
$α$	0.0954	8.68
$β$	0.8611	52.87
$γ_{1}$	0.0002	0.00
$γ_{2}$	-0.0043	-0.07
$γ_{3}$	0.1070	2.45
$γ_{4}$	-0.2209	-5.13
$γ_{5}$	0.1619	3.92
$γ_{6}$	-0.0637	-1.60
$γ_{7}$	0.0781	2.23
$γ_{8}$	-0.0960	-3.86

Estimation Period:
Jan 5, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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