V-Lab: Bank of Ayudhya PCL Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bank of Ayudhya PCL Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:15.36% (-0.70%)

Analysis last updated: Saturday, May 4, 2024 at 08:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6378	4.93
$α$	0.1812	7.65
$β$	0.7681	37.05
$γ_{1}$	-0.2066	-3.88
$γ_{2}$	0.3877	4.76
$γ_{3}$	-0.3627	-5.30
$γ_{4}$	0.2317	3.16
$γ_{5}$	-0.0022	-0.03
$γ_{6}$	-0.1109	-1.92
$γ_{7}$	0.1033	1.19
$γ_{8}$	-0.0757	-0.58
$γ_{9}$	0.0691	0.55
$γ_{10}$	-0.0381	-0.55

Estimation Period:
Jan 1, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts