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, October 11th, 2024:8.71% (+0.14%)

Analysis last updated: Thursday, October 10, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3490	3.76
$α$	0.0648	7.31
$β$	0.9087	89.38
$γ_{1}$	0.1357	4.02
$γ_{2}$	-0.1869	-3.52
$γ_{3}$	0.1207	2.91
$γ_{4}$	-0.1629	-4.58
$γ_{5}$	0.1725	5.66
$γ_{6}$	-0.1211	-4.22
$γ_{7}$	0.0690	2.68
$γ_{8}$	-0.0418	-2.34

Estimation Period:
Jan 1, 1998 to Oct 4, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts