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 Monday, May 20th, 2024:16.10% (-0.85%)

Analysis last updated: Saturday, May 18, 2024 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6369	4.95
$α$	0.1806	7.62
$β$	0.7682	36.95
$γ_{1}$	-0.2047	-3.86
$γ_{2}$	0.3845	4.74
$γ_{3}$	-0.3608	-5.30
$γ_{4}$	0.2315	3.16
$γ_{5}$	-0.0030	-0.04
$γ_{6}$	-0.1102	-1.93
$γ_{7}$	0.1026	1.20
$γ_{8}$	-0.0741	-0.58
$γ_{9}$	0.0681	0.54
$γ_{10}$	-0.0386	-0.56

Estimation Period:
Jan 1, 1990 to May 17, 2024

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