V-Lab: Pacific Mercantile Bancorp APARCH Volatility Analysis

V-Lab

| |

V-Lab

Pacific Mercantile Bancorp APARCH Volatility Analysis

Volatility Prediction for Tuesday, October 19th, 2021:33.95% (-0.65%)

Analysis last updated: Monday, October 18, 2021 at 09:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1161	6.61
$α$	0.1164	32.69
$β$	0.8812	186.34
$γ$	0.1621	7.16
$δ$	1.5626	25.16

Estimation Period:
Jan 26, 2000 to Oct 15, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts