V-Lab: Cromwell Property Group Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Cromwell Property Group Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 3rd, 2025:47.64% (-2.06%)

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
$ω$	0.7991	2.73
$α$	0.1024	8.55
$β$	0.8824	74.20
$γ_{1}$	-0.2625	-4.99
$γ_{2}$	0.4009	5.25
$γ_{3}$	-0.1827	-4.14
$γ_{4}$	0.0946	2.40
$γ_{5}$	-0.0831	-2.89

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts