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

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V-Lab

Macerich Co/The Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:66.33% (-1.68%)

Analysis last updated: Wednesday, May 8, 2024 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5909	3.83
$α$	0.1130	9.31
$β$	0.8401	50.41
$γ_{1}$	0.1247	1.54
$γ_{2}$	-0.2090	-1.85
$γ_{3}$	0.0950	1.49
$γ_{4}$	0.1149	1.79
$γ_{5}$	-0.3470	-4.94
$γ_{6}$	0.3715	5.70
$γ_{7}$	-0.1749	-2.48
$γ_{8}$	0.0748	0.91
$γ_{9}$	-0.1795	-1.37

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts