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

V-Lab

South Korean Won MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:6.69% (-2.04%)

Analysis last updated: Friday, June 20, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.8718	8,718,310.00
$β$	0.0010	10,400.00
$γ$	0.2543	2,542,580.00
$λ_{1}$	0.0540	540,240.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9959	9,958,720.00

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts