V-Lab: Hudson City Bancorp Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Hudson City Bancorp Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 2nd, 2015:24.76% (-1.47%)

Analysis last updated: Monday, March 1, 2021 at 03:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5570	3.82
$α$	0.1125	6.18
$β$	0.7855	22.44
$γ_{1}$	-0.2683	-0.62
$γ_{2}$	0.2148	0.36
$γ_{3}$	0.2437	0.74
$γ_{4}$	-0.6327	-1.67
$γ_{5}$	1.5032	3.67
$γ_{6}$	-2.3356	-7.17
$γ_{7}$	2.2222	8.35
$γ_{8}$	-1.7503	-6.62
$γ_{9}$	1.3092	5.14
$γ_{10}$	-0.6148	-2.42

Estimation Period:
Jul 14, 1999 to Oct 30, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts