V-Lab: Vornado Realty Trust MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Vornado Realty Trust MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:31.02% (-2.30%)

Analysis last updated: Monday, November 11, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.0254	16.09
$β$	0.8744	272.81
$γ$	0.0917	21.18
$λ_{1}$	0.2973	0.32
$λ_{2}$	0.9311	0.31
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 1, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts