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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωlong-run	0.2091	1.78*
αscore	0.0800	30.23***
βpersistence	0.9971	660.34***
νDF	3.6223	22.02***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.2091	1.78*
α score Weight on the scaled score	0.0800	30.23***
β persistence Volatility persistence	0.9971	660.34***
ν DF Student-t tail thickness	3.6223	22.02***

V-Lab

US Dollar to Thai Baht GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Thai Baht Analyses