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

V-Lab

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V-Lab

Vornado Realty Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:62.83% (+0.15%)

Analysis last updated: Thursday, May 9, 2024 at 10:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4040	2.10
$α$	0.0852	8.46
$β$	0.8763	64.14
$γ_{1}$	0.0413	0.37
$γ_{2}$	0.0824	0.61
$γ_{3}$	-0.3280	-4.43
$γ_{4}$	0.3696	2.51
$γ_{5}$	-0.1367	-1.08
$γ_{6}$	-0.2099	-2.42
$γ_{7}$	0.3149	3.93
$γ_{8}$	-0.1751	-2.51
$γ_{9}$	0.1254	1.97
$γ_{10}$	-0.1240	-1.65

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts