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, April 21st, 2025:11.77% (-0.47%)

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
$ω$	2.2815	3.70
$α$	0.0644	7.24
$β$	0.9081	88.48
$γ_{1}$	0.1257	3.91
$γ_{2}$	-0.1709	-3.44
$γ_{3}$	0.1072	2.80
$γ_{4}$	-0.1491	-4.61
$γ_{5}$	0.1659	6.05
$γ_{6}$	-0.1246	-4.84
$γ_{7}$	0.0773	3.09
$γ_{8}$	-0.0484	-2.56

Estimation Period:
Jan 1, 1998 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts