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

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V-Lab

Dream Office Real Estate Investment Trust MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:34.31% (-3.58%)

Analysis last updated: Tuesday, November 12, 2024 at 01:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1550	19.10
$β$	0.6684	55.98
$γ$	0.1138	9.78
$λ_{1}$	0.0061	5.07
$λ_{2}$	0.0225	9.16
$λ_{3}$	0.9763	348.66

Estimation Period:
Dec 4, 1995 to Nov 8, 2024

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Impact of return on volatility tomorrow

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