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{name} Model Equation

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Param	Value	t-stat
mwindow	31
αARCH	0.1149	8.85***
βGARCH	0.8384	49.85***
γleverage	-0.0550	-3.55***
λ₁tau intercept	0.0001	2.46**
λ₂forecast adj.	0.0303	7.50***
λ₃tau persistence	0.9697	237.38***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1149	8.85***
β GARCH Volatility persistence	0.8384	49.85***
γ leverage Additional response to negative shocks	-0.0550	-3.55***
λ₁ tau intercept Baseline long-term coefficient	0.0001	2.46**
λ₂ forecast adj. Forecast performance sensitivity	0.0303	7.50***
λ₃ tau persistence Long-term factor persistence	0.9697	237.38***

V-Lab

South Korean Won MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other South Korean Won Analyses