V-Lab: Pacific Mercantile Bancorp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pacific Mercantile Bancorp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 19th, 2021:30.14% (-1.04%)

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
$ω$	2.4824	3.56
$α$	0.1308	7.84
$β$	0.7701	23.65
$γ_{1}$	0.2304	1.35
$γ_{2}$	-0.1960	-0.80
$γ_{3}$	0.0257	0.14
$γ_{4}$	0.0631	0.32
$γ_{5}$	-0.3935	-2.34
$γ_{6}$	0.1865	1.02
$γ_{7}$	0.4972	1.74
$γ_{8}$	-0.7794	-1.98
$γ_{9}$	0.5750	1.84
$γ_{10}$	-0.2708	-2.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts