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

V-Lab

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V-Lab

South Korean Won Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:8.35% (-0.25%)

Analysis last updated: Tuesday, April 23, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5232	3.98
$α$	0.0648	7.32
$β$	0.9093	89.78
$γ_{1}$	0.1551	4.47
$γ_{2}$	-0.2169	-3.90
$γ_{3}$	0.1416	3.17
$γ_{4}$	-0.1800	-4.59
$γ_{5}$	0.1782	5.21
$γ_{6}$	-0.1132	-3.47
$γ_{7}$	0.0537	1.75
$γ_{8}$	-0.0160	-0.41

Estimation Period:
Jan 1, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts