V-Lab: South Korean Won MF2-GARCH Volatility Analysis

V-Lab

South Korean Won MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:0.23% (-6.51%)

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
$m$	31
$α$	0.8710	8,709,700.00
$β$	0.0010	10,430.00
$γ$	0.2560	2,559,740.00
$λ_{1}$	0.0528	528,170.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9963	9,963,420.00

Estimation Period:
Jan 2, 1990 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts