V-Lab: Macerich Co/The MF2-GARCH Volatility Analysis

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V-Lab

Macerich Co/The MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:32.75% (-1.44%)

Analysis last updated: Friday, November 8, 2024 at 11:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0891	23.39
$β$	0.8063	99.42
$γ$	0.0614	11.78
$λ_{1}$	0.0161	5.25
$λ_{2}$	0.0462	4.63
$λ_{3}$	0.9499	86.02

Estimation Period:
Mar 10, 1994 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts