V-Lab: Crombie Real Estate Investment Trust MF2-GARCH Volatility Analysis

V-Lab

Crombie Real Estate Investment Trust MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:22.48% (+3.03%)

Analysis last updated: Friday, May 9, 2025 at 02:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0474	13.57
$β$	0.8367	153.75
$γ$	0.1149	19.09
$λ_{1}$	0.0044	5.25
$λ_{2}$	0.0152	6.37
$λ_{3}$	0.9815	332.81

Estimation Period:
Mar 23, 2006 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts