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

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V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:6.63% (-0.19%)

Analysis last updated: Friday, December 20, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	20.87
$α$	0.0683	21.03
$β$	0.9329	568.86
$γ$	-0.0197	-4.19

Estimation Period:
Jan 1, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts