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

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V-Lab

South Korean Won MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:4.36% (-2.57%)

Analysis last updated: Friday, January 27, 2023, 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.7197	7197260.00
$β$	0.0303	302740.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.4035	15.80
$λ_{2}$	0.9596	45.20
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts