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 Friday, June 2nd, 2023:6.16% (-0.13%)

Analysis last updated: Thursday, June 1, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4750	4.14
$α$	0.0655	6.95
$β$	0.9088	86.31
$γ_{1}$	0.1685	3.44
$γ_{2}$	-0.2002	-2.53
$γ_{3}$	0.0373	0.65
$γ_{4}$	0.0420	0.90
$γ_{5}$	-0.1618	-3.80
$γ_{6}$	0.2396	5.77
$γ_{7}$	-0.2047	-4.94
$γ_{8}$	0.1249	3.24
$γ_{9}$	-0.0656	-2.31

Estimation Period:
Jan 1, 1998 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts