V-Lab: Bank of Ayudhya PCL GJR-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bank of Ayudhya PCL GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:19.43% (+0.31%)

Analysis last updated: Friday, May 17, 2024 at 10:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1201	17.37
$α$	0.1447	23.54
$β$	0.8420	237.45
$γ$	0.0266	2.09

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts