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

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V-Lab

Bank of Ayudhya PCL Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:13.61% (+0.74%)

Analysis last updated: Friday, May 17, 2024 at 10:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5927	5.11
$α$	0.1820	7.47
$β$	0.7571	34.30
$γ_{1}$	-0.2254	-4.43
$γ_{2}$	0.4209	5.45
$γ_{3}$	-0.3901	-6.07
$γ_{4}$	0.2529	3.66
$γ_{5}$	-0.0120	-0.19
$γ_{6}$	-0.1122	-2.03
$γ_{7}$	0.1129	1.38
$γ_{8}$	-0.0986	-0.82
$γ_{9}$	0.1414	1.13
$γ_{10}$	-0.2648	-2.12

Estimation Period:
Jan 1, 1990 to May 10, 2024

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