V-Lab: Unibail-Rodamco SE & WFD Unibail-Rodamco NV Spline-GARCH Volatility Analysis

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V-Lab

Unibail-Rodamco SE & WFD Unibail-Rodamco NV Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 23rd, 2023:28.71% (-0.67%)

Analysis last updated: Saturday, June 24, 2023 at 04:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8763	5.71
$α$	0.1151	5.73
$β$	0.8009	28.96
$γ_{1}$	0.0030	0.06
$γ_{2}$	-0.0214	-0.26
$γ_{3}$	0.0585	0.94
$γ_{4}$	-0.1002	-1.49
$γ_{5}$	0.1574	1.92
$γ_{6}$	-0.2181	-2.68
$γ_{7}$	0.1997	3.34
$γ_{8}$	-0.1413	-3.05
$γ_{9}$	0.2337	4.74
$γ_{10}$	-0.4174	-4.53

Estimation Period:
Jan 1, 1990 to May 5, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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