V-Lab: Thai Baht EGARCH Volatility Analysis

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V-Lab

Thai Baht EGARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:7.09% (-0.03%)

Analysis last updated: Friday, May 3, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0125	-6.52
$α$	0.1959	41.87
$β$	0.9843	1133.97
$γ$	0.0065	1.55

Estimation Period:
Jul 14, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts