V-Lab: South Korean Won Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:7.46% (-0.22%)

Analysis last updated: Sunday, April 28, 2024 at 02:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3716	3.81
$α$	0.0643	7.31
$β$	0.9104	91.13
$γ_{1}$	0.1427	4.03
$γ_{2}$	-0.1985	-3.51
$γ_{3}$	0.1309	2.91
$γ_{4}$	-0.1716	-4.36
$γ_{5}$	0.1727	5.05
$γ_{6}$	-0.1124	-3.51
$γ_{7}$	0.0602	2.16
$γ_{8}$	-0.0384	-1.98

Estimation Period:
Jan 1, 1998 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts