V-Lab: RPT Realty Spline-GARCH Volatility Analysis

V-Lab

RPT Realty Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 2nd, 2024:37.67% (+1.35%)

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
$ω$	1.0236	5.14
$α$	0.1100	8.63
$β$	0.8440	53.92
$γ_{1}$	-0.0620	-1.49
$γ_{2}$	0.0851	1.38
$γ_{3}$	-0.0537	-1.26
$γ_{4}$	0.1209	3.13
$γ_{5}$	-0.2015	-5.36
$γ_{6}$	0.1849	5.18
$γ_{7}$	-0.0862	-2.15
$γ_{8}$	0.0451	0.60

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts