V-Lab: Vornado Realty Trust Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Vornado Realty Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:51.30% (-1.65%)

Analysis last updated: Friday, April 26, 2024 at 09:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4052	2.11
$α$	0.0851	8.45
$β$	0.8764	64.21
$γ_{1}$	0.0412	0.37
$γ_{2}$	0.0828	0.61
$γ_{3}$	-0.3286	-4.43
$γ_{4}$	0.3704	2.51
$γ_{5}$	-0.1373	-1.08
$γ_{6}$	-0.2096	-2.42
$γ_{7}$	0.3147	3.93
$γ_{8}$	-0.1746	-2.50
$γ_{9}$	0.1239	1.95
$γ_{10}$	-0.1175	-1.54

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts