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

V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:8.79% (+0.74%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	21.24
$α$	0.0668	20.26
$β$	0.9348	568.25
$γ$	-0.0199	-4.30

Estimation Period:
Jan 1, 1998 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts