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 Friday, June 2nd, 2023:5.88% (-0.14%)

Analysis last updated: Thursday, June 1, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	20.40
$α$	0.0697	20.69
$β$	0.9331	549.53
$γ$	-0.0228	-4.64

Estimation Period:
Jan 1, 1998 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts