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 Tuesday, November 18th, 2025:8.17% (+0.36%)

Analysis last updated: Monday, November 17, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1642	3.57
$α$	0.0637	7.31
$β$	0.9106	92.36
$γ_{1}$	0.1121	3.60
$γ_{2}$	-0.1506	-3.15
$γ_{3}$	0.0915	2.47
$γ_{4}$	-0.1306	-4.17
$γ_{5}$	0.1510	5.71
$γ_{6}$	-0.1164	-4.83
$γ_{7}$	0.0707	2.94
$γ_{8}$	-0.0425	-2.33

Estimation Period:
Jan 1, 1998 to Nov 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts