V-Lab: Equity Residential GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Equity Residential GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 13th, 2024:26.65% (-1.01%)

Analysis last updated: Tuesday, November 12, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0393	21.35
$α$	0.0523	18.47
$β$	0.9010	360.69
$γ$	0.0620	9.76

Estimation Period:
Aug 12, 1993 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts