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, July 29th, 2024:5.51% (-0.09%)

Analysis last updated: Friday, July 26, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3516	3.78
$α$	0.0644	7.31
$β$	0.9101	91.00
$γ_{1}$	0.1382	4.00
$γ_{2}$	-0.1913	-3.49
$γ_{3}$	0.1251	2.89
$γ_{4}$	-0.1666	-4.45
$γ_{5}$	0.1722	5.33
$γ_{6}$	-0.1156	-3.80
$γ_{7}$	0.0604	2.25
$γ_{8}$	-0.0346	-1.86

Estimation Period:
Jan 1, 1998 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts