V-Lab: abrdn Global Premier Properties Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

abrdn Global Premier Properties Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:20.22% (-0.99%)

Analysis last updated: Thursday, May 16, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4708	3.88
$α$	0.1600	7.32
$β$	0.7877	34.21
$γ_{1}$	-1.0330	-5.60
$γ_{2}$	1.3380	5.26
$γ_{3}$	-0.4271	-2.72
$γ_{4}$	0.3238	2.20
$γ_{5}$	-0.3924	-2.58
$γ_{6}$	0.4104	2.37
$γ_{7}$	-0.3254	-1.86
$γ_{8}$	0.0893	0.73

Estimation Period:
Apr 26, 2007 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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