V-Lab: AvalonBay Communities Inc MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

AvalonBay Communities Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:17.76% (-0.06%)

Analysis last updated: Thursday, May 9, 2024 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0552	20.14
$β$	0.8232	152.88
$γ$	0.1158	20.83
$λ_{1}$	0.0179	6.42
$λ_{2}$	0.0454	5.56
$λ_{3}$	0.9462	97.95

Estimation Period:
Mar 11, 1994 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts