V-Lab
V-Lab
Thai Baht GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, May 6th, 2024:6.13% (-0.28%)

Analysis last updated: Sunday, May 5, 2024 at 01:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Thai Baht GJR-GARCH
paramt-stat
ω0.001119.73
α0.093222.31
β0.9084514.39
γ-0.0121-1.86
Estimation Period:
Jul 14, 1997 to May 3, 2024
Impact of return on volatility tomorrow
Volatility Forecasts