V-Lab: BXP Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BXP Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 13th, 2024:33.52% (+5.13%)

Analysis last updated: Tuesday, November 12, 2024 at 10:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8916	5.14
$α$	0.1167	8.56
$β$	0.8347	47.82
$γ_{1}$	-0.0284	-0.43
$γ_{2}$	0.0866	0.91
$γ_{3}$	0.0057	0.10
$γ_{4}$	-0.2665	-4.19
$γ_{5}$	0.3714	5.27
$γ_{6}$	-0.2453	-3.64
$γ_{7}$	0.1784	2.63
$γ_{8}$	-0.2390	-3.12

Estimation Period:
Jun 18, 1997 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts