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 Tuesday, October 14th, 2025:6.94% (-0.17%)

Analysis last updated: Monday, October 13, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1987	3.61
$α$	0.0640	7.30
$β$	0.9097	91.04
$γ_{1}$	0.1151	3.69
$γ_{2}$	-0.1548	-3.23
$γ_{3}$	0.0943	2.55
$γ_{4}$	-0.1341	-4.29
$γ_{5}$	0.1540	5.84
$γ_{6}$	-0.1183	-4.89
$γ_{7}$	0.0722	2.99
$γ_{8}$	-0.0436	-2.36

Estimation Period:
Jan 1, 1998 to Oct 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts