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 Tuesday, July 1st, 2025:9.58% (+0.99%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2445	3.66
$α$	0.0641	7.25
$β$	0.9087	89.33
$γ_{1}$	0.1214	3.83
$γ_{2}$	-0.1643	-3.37
$γ_{3}$	0.1020	2.71
$γ_{4}$	-0.1432	-4.51
$γ_{5}$	0.1618	6.04
$γ_{6}$	-0.1235	-4.95
$γ_{7}$	0.0778	3.15
$γ_{8}$	-0.0490	-2.62

Estimation Period:
Jan 1, 1998 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts