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 Thursday, June 19th, 2025:8.01% (+0.27%)

Analysis last updated: Wednesday, June 18, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2552	3.67
$α$	0.0642	7.25
$β$	0.9085	89.02
$γ_{1}$	0.1225	3.86
$γ_{2}$	-0.1660	-3.39
$γ_{3}$	0.1032	2.74
$γ_{4}$	-0.1446	-4.54
$γ_{5}$	0.1627	6.05
$γ_{6}$	-0.1238	-4.93
$γ_{7}$	0.0775	3.14
$γ_{8}$	-0.0487	-2.59

Estimation Period:
Jan 1, 1998 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts