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

V-Lab

|

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:9.77% (+1.09%)

Analysis last updated: Friday, December 1, 2023 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4109	4.07
$α$	0.0641	7.06
$β$	0.9114	89.60
$γ_{1}$	0.1638	3.41
$γ_{2}$	-0.2024	-2.57
$γ_{3}$	0.0580	0.98
$γ_{4}$	0.0072	0.15
$γ_{5}$	-0.1209	-2.82
$γ_{6}$	0.2127	5.24
$γ_{7}$	-0.2048	-5.17
$γ_{8}$	0.1467	3.80
$γ_{9}$	-0.0892	-3.07

Estimation Period:
Jan 1, 1998 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts