V-Lab: South Korean Won MF2-GARCH Volatility Analysis

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V-Lab

South Korean Won MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:3.05% (-8.23%)

Analysis last updated: Thursday, April 25, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.6970	6969730.00
$β$	0.0530	530270.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0980	8.79
$λ_{2}$	0.9293	14.10
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts