V-Lab: Thai Baht Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Thai Baht Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 16th, 2024:8.94% (+1.77%)

Analysis last updated: Monday, April 15, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5830	6.62
$α$	0.0900	10.68
$β$	0.8950	100.08
$γ_{1}$	0.0043	6.89

Estimation Period:
Jul 14, 1997 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts