V-Lab: Equity Residential MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Equity Residential MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:27.58% (-1.53%)

Analysis last updated: Monday, November 11, 2024 at 10:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.0386	17.10
$β$	0.8689	235.10
$γ$	0.0826	23.02
$λ_{1}$	0.3827	12.44
$λ_{2}$	0.8144	67.16
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts