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 Monday, December 23rd, 2024:7.02% (-0.19%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3189	3.72
$α$	0.0648	7.30
$β$	0.9083	88.96
$γ_{1}$	0.1317	3.97
$γ_{2}$	-0.1807	-3.48
$γ_{3}$	0.1159	2.87
$γ_{4}$	-0.1582	-4.60
$γ_{5}$	0.1703	5.83
$γ_{6}$	-0.1220	-4.45
$γ_{7}$	0.0695	2.78
$γ_{8}$	-0.0406	-2.34

Estimation Period:
Jan 1, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts