V-Lab: Thai Baht GJR-GARCH Volatility Analysis

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V-Lab

Thai Baht GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:6.83% (+0.90%)

Analysis last updated: Thursday, May 2, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0011	19.75
$α$	0.0932	22.29
$β$	0.9083	513.76
$γ$	-0.0120	-1.84

Estimation Period:
Jul 14, 1997 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts