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 Wednesday, December 17th, 2025:5.88% (+0.05%)

Analysis last updated: Tuesday, December 16, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1393	3.55
$α$	0.0636	7.34
$β$	0.9113	93.56
$γ_{1}$	0.1096	3.53
$γ_{2}$	-0.1470	-3.08
$γ_{3}$	0.0889	2.40
$γ_{4}$	-0.1274	-4.06
$γ_{5}$	0.1480	5.58
$γ_{6}$	-0.1136	-4.72
$γ_{7}$	0.0670	2.78
$γ_{8}$	-0.0389	-2.10

Estimation Period:
Jan 1, 1998 to Dec 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts