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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.0815	6.64***
βGARCH	0.8478	47.93***
γleverage	0.0051	0.26
λ₁tau intercept	0.0088	2.55**
λ₂forecast adj.	0.9563	21.56***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0815	6.64***
β GARCH Volatility persistence	0.8478	47.93***
γ leverage Additional response to negative shocks	0.0051	0.26
λ₁ tau intercept Baseline long-term coefficient	0.0088	2.55**
λ₂ forecast adj. Forecast performance sensitivity	0.9563	21.56***
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