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

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V-Lab

Cromwell Property Group MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:30.83% (-0.95%)

Analysis last updated: Tuesday, November 12, 2024 at 07:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0865	20.15
$β$	0.8119	111.62
$γ$	0.0128	2.07
$λ_{1}$	0.2165	4.00
$λ_{2}$	0.9162	64.58
$λ_{3}$	0.0318	3.04

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

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