V-Lab: Cromwell Property Group MF2-GARCH Volatility Analysis

V-Lab

Cromwell Property Group MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 3rd, 2025:45.60% (-2.66%)

Analysis last updated: Tuesday, June 3, 2025 at 09:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0854	20.17
$β$	0.8123	113.75
$γ$	0.0149	2.47
$λ_{1}$	0.2085	3.84
$λ_{2}$	0.9069	68.61
$λ_{3}$	0.0485	3.70

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts