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, May 12th, 2025:11.46% (-0.36%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2692	3.68
$α$	0.0644	7.25
$β$	0.9083	88.88
$γ_{1}$	0.1243	3.89
$γ_{2}$	-0.1687	-3.42
$γ_{3}$	0.1055	2.77
$γ_{4}$	-0.1472	-4.58
$γ_{5}$	0.1647	6.05
$γ_{6}$	-0.1245	-4.89
$γ_{7}$	0.0780	3.13
$γ_{8}$	-0.0492	-2.61

Estimation Period:
Jan 1, 1998 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts