V-Lab: AvalonBay Communities Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AvalonBay Communities Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:22.05% (+3.33%)

Analysis last updated: Thursday, May 2, 2024 at 09:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9406	6.47
$α$	0.1128	10.08
$β$	0.8431	59.57
$γ_{1}$	0.0123	0.80
$γ_{2}$	0.0127	0.58
$γ_{3}$	-0.0711	-4.75
$γ_{4}$	0.0828	5.52
$γ_{5}$	-0.0490	-4.41

Estimation Period:
Mar 11, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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