V-Lab: Taiwanese Dollar Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Taiwanese Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:5.75% (+0.36%)

Analysis last updated: Friday, April 19, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9624	5.00
$α$	0.1099	7.92
$β$	0.8334	43.13
$γ_{1}$	0.0019	0.06
$γ_{2}$	-0.0335	-0.72
$γ_{3}$	0.0820	2.59
$γ_{4}$	-0.1222	-4.29
$γ_{5}$	0.1621	5.46
$γ_{6}$	-0.1748	-5.22
$γ_{7}$	0.1454	3.52
$γ_{8}$	-0.0690	-1.28

Estimation Period:
Jan 31, 2000 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts