V-Lab: TR Property Investment Trust PLC - Ordinary Shares Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

TR Property Investment Trust PLC - Ordinary Shares Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:24.43% (+1.73%)

Analysis last updated: Saturday, September 21, 2024 at 12:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8450	5.22
$α$	0.1455	9.14
$β$	0.7700	36.32
$γ_{1}$	-0.1885	-3.60
$γ_{2}$	0.2735	3.72
$γ_{3}$	-0.1173	-2.84
$γ_{4}$	0.1303	3.13
$γ_{5}$	-0.1990	-4.74
$γ_{6}$	0.1215	3.40
$γ_{7}$	-0.0305	-0.83
$γ_{8}$	0.0664	1.93
$γ_{9}$	-0.0955	-4.21

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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