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

V-Lab

South Korean Won GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:7.19% (-0.22%)

Analysis last updated: Thursday, July 10, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0019	21.22
$α$	0.0668	20.26
$β$	0.9348	568.97
$γ$	-0.0199	-4.31

Estimation Period:
Jan 1, 1998 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts