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

V-Lab

South Korean Won MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:0.42% (-9.35%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.8950	8,949,720.00
$β$	0.0011	11,490.00
$γ$	0.2078	2,077,570.00
$λ_{1}$	0.0779	779,290.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9977	9,977,100.00

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts