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

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V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 28th, 2025:6.74% (+0.09%)

Analysis last updated: Monday, October 27, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1753	3.58
$α$	0.0639	7.31
$β$	0.9103	91.86
$γ_{1}$	0.1133	3.63
$γ_{2}$	-0.1524	-3.18
$γ_{3}$	0.0928	2.51
$γ_{4}$	-0.1321	-4.22
$γ_{5}$	0.1523	5.76
$γ_{6}$	-0.1171	-4.84
$γ_{7}$	0.0711	2.94
$γ_{8}$	-0.0426	-2.31

Estimation Period:
Jan 1, 1998 to Oct 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts