V-Lab: South Korean Won Zero Slope Spline-GARCH Volatility Analysis

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:7.26% (-0.18%)

Analysis last updated: Friday, August 29, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2175	3.63
$α$	0.0642	7.29
$β$	0.9090	89.97
$γ_{1}$	0.1177	3.75
$γ_{2}$	-0.1587	-3.29
$γ_{3}$	0.0973	2.62
$γ_{4}$	-0.1376	-4.39
$γ_{5}$	0.1571	5.95
$γ_{6}$	-0.1208	-4.95
$γ_{7}$	0.0752	3.09
$γ_{8}$	-0.0466	-2.51

Estimation Period:
Jan 1, 1998 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts