V-Lab: Pacific Mercantile Bancorp GAS-GARCH Student T Volatility Analysis

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V-Lab

Pacific Mercantile Bancorp GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Tuesday, October 19th, 2021:38.24% (-1.65%)

Analysis last updated: Monday, October 18, 2021 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	11.0602	3.48
$α$	0.1156	41.10
$β$	0.9847	231.53
$ν$	3	21.94

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