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

V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, August 1st, 2025:7.91% (-0.03%)

Analysis last updated: Thursday, July 31, 2025 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	21.33
$α$	0.0668	20.36
$β$	0.9347	568.55
$γ$	-0.0198	-4.32

Estimation Period:
Jan 1, 1998 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts