V-Lab: RPT Realty Zero Slope Spline-GARCH Volatility Analysis

V-Lab

RPT Realty Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 2nd, 2024:33.93% (+1.51%)

Analysis last updated: Friday, December 29, 2023 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1396	6.32
$α$	0.1107	8.73
$β$	0.8475	56.32
$γ_{1}$	-0.0224	-1.09
$γ_{2}$	0.0208	0.70
$γ_{3}$	0.0346	1.85
$γ_{4}$	-0.0760	-3.93
$γ_{5}$	0.0906	4.47
$γ_{6}$	-0.0720	-4.77

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts