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, October 28th, 2024:7.25% (+0.45%)

Analysis last updated: Friday, October 25, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3451	3.76
$α$	0.0647	7.31
$β$	0.9086	89.26
$γ_{1}$	0.1350	4.02
$γ_{2}$	-0.1857	-3.52
$γ_{3}$	0.1196	2.90
$γ_{4}$	-0.1618	-4.59
$γ_{5}$	0.1720	5.70
$γ_{6}$	-0.1212	-4.27
$γ_{7}$	0.0687	2.69
$γ_{8}$	-0.0409	-2.31

Estimation Period:
Jan 1, 1998 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts