US Dollar to Thai Baht GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, May 29th, 2026
1 Day
7.71%
decreased by 0.08%
1 Week
7.73%
decreased by 0.06%
1 Month
7.80%
increased by 0.01%
Analysis last updated: Thursday, May 28, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0006 | 12.67 | |
| 0.0846 | 25.20 | |
| 0.9148 | 585.26 | |
| 0.0012 | 0.23 |
Estimation Period:
May 6, 1991 to May 22, 2026
May 6, 1991 to May 22, 2026
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