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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0019	5.38***
αARCH	0.0658	4.98***
βGARCH	0.9371	149.10***
γleverage	-0.0220	-1.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0019	5.38***
α ARCH Response to squared shocks	0.0658	4.98***
β GARCH Volatility persistence	0.9371	149.10***
γ leverage Additional response to negative shocks	-0.0220	-1.24

V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other South Korean Won Analyses