V-Lab: Pacific Mercantile Bancorp Asy. Power MEM Volatility Analysis

V-Lab

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V-Lab

Pacific Mercantile Bancorp Asy. Power MEM Volatility Analysis

Volatility Prediction for Tuesday, October 19th, 2021:35.10% (+0.80%)

Analysis last updated: Monday, October 18, 2021 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0615	15.55
$α$	0.1296	39.46
$β$	0.8704	296.56
$γ$	0.0329	2.30
$δ$	1.8738	40.90

Estimation Period:
Jan 27, 2000 to Oct 15, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts