V-Lab: Taiwanese Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Taiwanese Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:3.69% (+0.13%)

Analysis last updated: Thursday, May 2, 2024 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9590	5.00
$α$	0.1093	7.91
$β$	0.8342	43.22
$γ_{1}$	-0.0014	-0.05
$γ_{2}$	-0.0266	-0.57
$γ_{3}$	0.0747	2.34
$γ_{4}$	-0.1152	-4.03
$γ_{5}$	0.1569	5.33
$γ_{6}$	-0.1737	-5.45
$γ_{7}$	0.1522	4.27
$γ_{8}$	-0.0944	-3.54

Estimation Period:
Jan 31, 2000 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts