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

V-Lab

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

Volatility Prediction for Friday, May 9th, 2025:24.06% (+1.57%)

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
$ω$	0.9744	4.94
$α$	0.1377	8.25
$β$	0.7868	31.78
$γ_{1}$	-0.1279	-2.54
$γ_{2}$	0.2069	2.96
$γ_{3}$	-0.1048	-2.60
$γ_{4}$	0.0602	1.65
$γ_{5}$	-0.0603	-2.36

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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