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

V-Lab

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V-Lab

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

Volatility Prediction for Thursday, May 9th, 2024:18.60% (+0.01%)

Analysis last updated: Thursday, May 9, 2024 at 12:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4766	2.45
$α$	0.1276	9.54
$β$	0.8472	53.98
$γ_{1}$	-0.7917	-4.83
$γ_{2}$	1.3473	5.91
$γ_{3}$	-0.7495	-6.78
$γ_{4}$	0.2132	2.80
$γ_{5}$	0.0361	0.45
$γ_{6}$	-0.1030	-1.04
$γ_{7}$	0.1057	0.97
$γ_{8}$	-0.0930	-1.23

Estimation Period:
Feb 4, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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