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

V-Lab

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V-Lab

Cromwell Property Group Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:30.65% (-0.72%)

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
$ω$	0.7790	2.62
$α$	0.1015	8.32
$β$	0.8833	73.36
$γ_{1}$	-0.2782	-5.15
$γ_{2}$	0.4206	5.45
$γ_{3}$	-0.1874	-4.29
$γ_{4}$	0.0950	2.39
$γ_{5}$	-0.0836	-1.51

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts