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 Wednesday, May 8th, 2024:71.51% (-1.86%)

Analysis last updated: Tuesday, May 7, 2024 at 09:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5863	3.67
$α$	0.1122	9.36
$β$	0.8434	52.07
$γ_{1}$	0.1149	1.37
$γ_{2}$	-0.1943	-1.67
$γ_{3}$	0.0898	1.37
$γ_{4}$	0.1099	1.67
$γ_{5}$	-0.3324	-4.61
$γ_{6}$	0.3526	5.30
$γ_{7}$	-0.1528	-2.16
$γ_{8}$	0.0315	0.42
$γ_{9}$	-0.0580	-1.21

Estimation Period:
Mar 10, 1994 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts