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 Tuesday, November 12th, 2024:34.99% (+2.10%)

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
$ω$	0.5862	3.89
$α$	0.1129	9.31
$β$	0.8391	50.26
$γ_{1}$	0.1200	1.55
$γ_{2}$	-0.2060	-1.91
$γ_{3}$	0.1097	1.84
$γ_{4}$	0.0787	1.41
$γ_{5}$	-0.3071	-5.04
$γ_{6}$	0.3547	6.04
$γ_{7}$	-0.1741	-2.82
$γ_{8}$	0.0637	0.86
$γ_{9}$	-0.2022	-2.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts