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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1014	4.92***
βGARCH	0.6904	12.98***
γleverage	-0.0381	-1.39
λ₁tau intercept	0.0058	2.44**
λ₂forecast adj.	0.5937	4.10***
λ₃tau persistence	0.4040	2.73***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1014	4.92***
β GARCH Volatility persistence	0.6904	12.98***
γ leverage Additional response to negative shocks	-0.0381	-1.39
λ₁ tau intercept Baseline long-term coefficient	0.0058	2.44**
λ₂ forecast adj. Forecast performance sensitivity	0.5937	4.10***
λ₃ tau persistence Long-term factor persistence	0.4040	2.73***

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