V-Lab: Mirvac Group MF2-GARCH Volatility Analysis

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V-Lab

Mirvac Group MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:24.07% (-0.39%)

Analysis last updated: Tuesday, November 12, 2024 at 07:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	101
$α$	0.0227	11.44
$β$	0.9026	328.56
$γ$	0.0730	17.04
$λ_{1}$	0.1354	17.77
$λ_{2}$	0.9646	106.46
$λ_{3}$	0.0000	0.00

Estimation Period:
Jun 18, 1999 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts