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

V-Lab

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V-Lab

Bank of Ayudhya PCL Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:11.06% (-0.93%)

Analysis last updated: Saturday, May 4, 2024 at 08:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5898	5.09
$α$	0.1842	7.55
$β$	0.7543	34.12
$γ_{1}$	-0.2274	-4.48
$γ_{2}$	0.4234	5.50
$γ_{3}$	-0.3909	-6.11
$γ_{4}$	0.2532	3.68
$γ_{5}$	-0.0116	-0.18
$γ_{6}$	-0.1134	-2.06
$γ_{7}$	0.1147	1.41
$γ_{8}$	-0.1023	-0.85
$γ_{9}$	0.1525	1.23
$γ_{10}$	-0.3123	-2.63

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts