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 Monday, June 15th, 2026
1 Day
5.99%
increased by 0.02%
1 Week
6.02%
increased by 0.05%
1 Month
6.12%
increased by 0.15%
Analysis last updated: Friday, June 12, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0006 | 12.56 | |
| 0.0842 | 25.18 | |
| 0.9152 | 589.34 | |
| 0.0012 | 0.22 |
Estimation Period:
May 6, 1991 to Jun 12, 2026
May 6, 1991 to Jun 12, 2026
Other GJR-GARCH Analyses on Currencies