V-Lab: Freehold Royalties Ltd Spline-GARCH Volatility Analysis

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V-Lab

Freehold Royalties Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:14.77% (-0.47%)

Analysis last updated: Thursday, May 9, 2024 at 12:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6675	5.82
$α$	0.0696	6.62
$β$	0.9055	64.68
$γ_{1}$	-0.3449	-4.17
$γ_{2}$	0.5333	3.80
$γ_{3}$	-0.2303	-2.23
$γ_{4}$	-0.0211	-0.27
$γ_{5}$	0.1732	2.15
$γ_{6}$	-0.1895	-2.14
$γ_{7}$	0.1612	2.12
$γ_{8}$	-0.3403	-3.95

Estimation Period:
Feb 20, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts