V-Lab: Taiwanese Dollar APARCH Volatility Analysis

V-Lab

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V-Lab

Taiwanese Dollar APARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:4.91% (+0.49%)

Analysis last updated: Thursday, May 16, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0033	12.31
$α$	0.1105	32.72
$β$	0.8692	238.32
$γ$	-0.0018	-0.13
$δ$	1.7553	32.95

Estimation Period:
Jan 31, 2000 to May 10, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts