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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.0804	6.60***
βGARCH	0.8480	47.80***
γleverage	0.0059	0.30
λ₁tau intercept	0.0088	2.56**
λ₂forecast adj.	0.9555	21.59***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0804	6.60***
β GARCH Volatility persistence	0.8480	47.80***
γ leverage Additional response to negative shocks	0.0059	0.30
λ₁ tau intercept Baseline long-term coefficient	0.0088	2.56**
λ₂ forecast adj. Forecast performance sensitivity	0.9555	21.59***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

US Dollar to Thai Baht MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Thai Baht Analyses