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

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V-Lab

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

Volatility Prediction for Monday, November 11th, 2024:19.30% (-1.42%)

Analysis last updated: Sunday, November 10, 2024 at 04:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7479	4.79
$α$	0.1461	8.88
$β$	0.7602	33.75
$γ_{1}$	-0.2564	-4.07
$γ_{2}$	0.3610	4.18
$γ_{3}$	-0.1433	-2.72
$γ_{4}$	0.1082	2.03
$γ_{5}$	-0.0521	-1.06
$γ_{6}$	-0.1438	-3.32
$γ_{7}$	0.2200	4.98
$γ_{8}$	-0.1584	-3.21
$γ_{9}$	0.1918	3.37
$γ_{10}$	-0.3251	-4.87

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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MEM
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