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{name} Model Equation

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Param	Value	t-stat
ωconst	0.5401	6.54***
αARCH	0.1103	9.28***
βGARCH	0.8340	51.44***

γ₁	0.0038	0.06
γ₂	-0.0518	-0.56
γ₃	0.0575	0.95
γ₄	0.1115	1.67*
γ₅	-0.3400	-5.03***
γ₆	0.3543	6.01***
γ₇	-0.1487	-2.74***
γ₈	0.0545	1.11
γ₉	-0.1409	-2.79***
γ₁₀	0.1501	3.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5401	6.54***
α ARCH Response to squared shocks	0.1103	9.28***
β GARCH Volatility persistence	0.8340	51.44***

γ₁	0.0038	0.06
γ₂	-0.0518	-0.56
γ₃	0.0575	0.95
γ₄	0.1115	1.67*
γ₅	-0.3400	-5.03***
γ₆	0.3543	6.01***
γ₇	-0.1487	-2.74***
γ₈	0.0545	1.11
γ₉	-0.1409	-2.79***
γ₁₀	0.1501	3.62***

V-Lab

Simon Property Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Simon Property Group Inc Analyses