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 17th, 2024:5.36% (+0.39%)

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
$ω$	0.9521	4.98
$α$	0.1090	7.88
$β$	0.8336	42.79
$γ_{1}$	-0.0014	-0.05
$γ_{2}$	-0.0268	-0.58
$γ_{3}$	0.0746	2.36
$γ_{4}$	-0.1146	-4.05
$γ_{5}$	0.1569	5.39
$γ_{6}$	-0.1745	-5.58
$γ_{7}$	0.1532	4.36
$γ_{8}$	-0.0952	-3.61

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts