V-Lab: Vicinity Centres Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Vicinity Centres Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:19.53% (-0.53%)

Analysis last updated: Tuesday, November 12, 2024 at 08:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7658	3.17
$α$	0.0660	4.02
$β$	0.8769	36.39
$γ_{1}$	0.1132	0.78
$γ_{2}$	-0.2440	-1.25
$γ_{3}$	0.3286	3.37
$γ_{4}$	-0.3931	-4.57
$γ_{5}$	0.2653	4.06

Estimation Period:
Dec 5, 2011 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts