V-Lab: Macerich Co/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Macerich Co/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:40.30% (+1.78%)

Analysis last updated: Monday, November 11, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5866	3.68
$α$	0.1125	9.40
$β$	0.8435	52.65
$γ_{1}$	0.1110	1.37
$γ_{2}$	-0.1924	-1.71
$γ_{3}$	0.1046	1.69
$γ_{4}$	0.0738	1.27
$γ_{5}$	-0.2909	-4.55
$γ_{6}$	0.3308	5.40
$γ_{7}$	-0.1407	-2.21
$γ_{8}$	-0.0057	-0.08
$γ_{9}$	-0.0100	-0.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts