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

V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:11.13% (-0.26%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	21.00
$α$	0.0668	20.19
$β$	0.9346	565.72
$γ$	-0.0193	-4.15

Estimation Period:
Jan 1, 1998 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts