V-Lab: Pacific Mercantile Bancorp MF2-GARCH Volatility Analysis

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V-Lab

Pacific Mercantile Bancorp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 19th, 2021:31.41% (-0.86%)

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
$m$	106
$α$	0.0752	13.97
$β$	0.7830	110.33
$γ$	0.0891	12.68
$λ_{1}$	1.4782	1.51
$λ_{2}$	0.7542	1.85
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts