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{name} Model Equation

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Param	Value	t-stat
ωconst	2.3061	3.94***
αARCH	0.0629	7.28***
βGARCH	0.9105	90.95***

γ₁	0.1519	3.21***
γ₂	-0.1847	-2.41**
γ₃	0.0503	0.88
γ₄	0.0082	0.17
γ₅	-0.1172	-2.83***
γ₆	0.2047	5.23***
γ₇	-0.1910	-4.97***
γ₈	0.1246	3.21***
γ₉	-0.0623	-1.59
γ₁₀	0.0103	0.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3061	3.94***
α ARCH Response to squared shocks	0.0629	7.28***
β GARCH Volatility persistence	0.9105	90.95***

γ₁	0.1519	3.21***
γ₂	-0.1847	-2.41**
γ₃	0.0503	0.88
γ₄	0.0082	0.17
γ₅	-0.1172	-2.83***
γ₆	0.2047	5.23***
γ₇	-0.1910	-4.97***
γ₈	0.1246	3.21***
γ₉	-0.0623	-1.59
γ₁₀	0.0103	0.33

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other South Korean Won Analyses