V-Lab: HomeStreet Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

HomeStreet Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:77.32% (-1.33%)

Analysis last updated: Friday, May 3, 2024 at 09:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9594	5.06
$α$	0.0519	3.34
$β$	0.8862	26.89
$γ_{1}$	-0.0624	-0.20
$γ_{2}$	0.3039	0.64
$γ_{3}$	-0.3011	-0.91
$γ_{4}$	-0.0443	-0.13
$γ_{5}$	0.4223	1.03
$γ_{6}$	-0.8259	-1.79
$γ_{7}$	1.2211	3.18
$γ_{8}$	-1.1586	-4.93

Estimation Period:
Feb 10, 2012 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts