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 Tuesday, November 12th, 2024:23.33% (-1.31%)

Analysis last updated: Monday, November 11, 2024 at 10:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0556	20.29
$β$	0.8213	153.97
$γ$	0.1182	21.32
$λ_{1}$	0.0180	6.48
$λ_{2}$	0.0447	5.64
$λ_{3}$	0.9468	100.48

Estimation Period:
Mar 11, 1994 to Nov 8, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts