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 Thursday, June 5th, 2025:15.15% (-0.55%)

Analysis last updated: Thursday, June 5, 2025 at 01:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0480	13.69
$β$	0.8361	153.52
$γ$	0.1145	19.04
$λ_{1}$	0.0045	5.27
$λ_{2}$	0.0152	6.37
$λ_{3}$	0.9814	333.14

Estimation Period:
Mar 23, 2006 to May 30, 2025

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Volatility Forecasts

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