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

V-Lab

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V-Lab

Hudson City Bancorp Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 2nd, 2015:35.85% (-1.38%)

Analysis last updated: Friday, January 29, 2016 at 03:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7066	3.33
$α$	0.1086	6.74
$β$	0.8631	43.24
$γ_{1}$	-0.2729	-1.04
$γ_{2}$	0.3682	0.95
$γ_{3}$	-0.1180	-0.42
$γ_{4}$	0.0832	0.29
$γ_{5}$	0.0119	0.05
$γ_{6}$	-0.4532	-1.38
$γ_{7}$	1.0881	2.76

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts