V-Lab: RioCan Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

RioCan Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:19.11% (-0.74%)

Analysis last updated: Tuesday, November 12, 2024 at 01:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6217	5.95
$α$	0.0949	8.63
$β$	0.8603	51.71
$γ_{1}$	0.0024	0.06
$γ_{2}$	-0.0037	-0.07
$γ_{3}$	0.1000	2.51
$γ_{4}$	-0.2206	-5.67
$γ_{5}$	0.1746	4.56
$γ_{6}$	-0.0747	-1.94
$γ_{7}$	0.0771	2.16
$γ_{8}$	-0.0912	-3.72

Estimation Period:
Jan 5, 1994 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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