V-Lab: Crombie Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Crombie Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:19.39% (+1.72%)

Analysis last updated: Thursday, May 9, 2024 at 12:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9538	4.53
$α$	0.1332	8.11
$β$	0.7987	33.95
$γ_{1}$	-0.1492	-2.53
$γ_{2}$	0.2369	2.94
$γ_{3}$	-0.1200	-2.64
$γ_{4}$	0.0786	1.94
$γ_{5}$	-0.0789	-2.68

Estimation Period:
Mar 23, 2006 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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