V-Lab: RPT Realty MF2-GARCH Volatility Analysis

V-Lab

RPT Realty MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 2nd, 2024:34.94% (+3.00%)

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
$m$	86
$α$	0.0500	16.65
$β$	0.8330	188.54
$γ$	0.1175	21.81
$λ_{1}$	0.0217	7.54
$λ_{2}$	0.0475	7.71
$λ_{3}$	0.9475	137.09

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts