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 Wednesday, July 16th, 2025:7.00% (-0.07%)

Analysis last updated: Tuesday, July 15, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2374	3.65
$α$	0.0641	7.25
$β$	0.9088	89.42
$γ_{1}$	0.1205	3.82
$γ_{2}$	-0.1630	-3.35
$γ_{3}$	0.1008	2.70
$γ_{4}$	-0.1418	-4.49
$γ_{5}$	0.1606	6.02
$γ_{6}$	-0.1228	-4.95
$γ_{7}$	0.0770	3.13
$γ_{8}$	-0.0483	-2.57

Estimation Period:
Jan 1, 1998 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts