V-Lab: South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Skip to main content

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 27th, 2025:6.99% (+0.11%)

Analysis last updated: Wednesday, November 26, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1535	3.56
$α$	0.0636	7.32
$β$	0.9109	92.75
$γ_{1}$	0.1112	3.57
$γ_{2}$	-0.1494	-3.12
$γ_{3}$	0.0908	2.45
$γ_{4}$	-0.1299	-4.15
$γ_{5}$	0.1504	5.68
$γ_{6}$	-0.1158	-4.80
$γ_{7}$	0.0701	2.91
$γ_{8}$	-0.0419	-2.29

Estimation Period:
Jan 1, 1998 to Nov 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts