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, January 30th, 2023:5.77% (-0.15%)

Analysis last updated: Friday, January 27, 2023, 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5119	4.19
$α$	0.0664	6.87
$β$	0.9075	84.71
$γ_{1}$	0.1715	3.46
$γ_{2}$	-0.1997	-2.51
$γ_{3}$	0.0270	0.49
$γ_{4}$	0.0585	1.28
$γ_{5}$	-0.1797	-4.15
$γ_{6}$	0.2464	5.75
$γ_{7}$	-0.1923	-4.46
$γ_{8}$	0.0981	2.54
$γ_{9}$	-0.0414	-1.49

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts