V-Lab: RPT Realty GAS-GARCH Student T Volatility Analysis

V-Lab

RPT Realty GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Tuesday, January 2nd, 2024:28.18% (+2.69%)

Analysis last updated: Friday, December 29, 2023 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.9212	8.25
$α$	0.0766	49.48
$β$	0.9898	786.80
$ν$	4.9518	19.90

Estimation Period:
Jan 2, 1990 to Dec 29, 2023