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

V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:7.68% (+0.31%)

Analysis last updated: Wednesday, June 18, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	21.30
$α$	0.0668	20.23
$β$	0.9347	566.81
$γ$	-0.0197	-4.25

Estimation Period:
Jan 1, 1998 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts