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Param	Value	t-stat
ωconst	2.3071	3.93***
αARCH	0.0630	7.33***
βGARCH	0.9106	91.40***

γ₁	0.1520	3.21***
γ₂	-0.1864	-2.43**
γ₃	0.0551	0.96
γ₄	0.0002	0.00
γ₅	-0.1075	-2.59***
γ₆	0.1970	5.04***
γ₇	-0.1876	-4.92***
γ₈	0.1241	3.20***
γ₉	-0.0617	-1.58
γ₁₀	0.0089	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3071	3.93***
α ARCH Response to squared shocks	0.0630	7.33***
β GARCH Volatility persistence	0.9106	91.40***

γ₁	0.1520	3.21***
γ₂	-0.1864	-2.43**
γ₃	0.0551	0.96
γ₄	0.0002	0.00
γ₅	-0.1075	-2.59***
γ₆	0.1970	5.04***
γ₇	-0.1876	-4.92***
γ₈	0.1241	3.20***
γ₉	-0.0617	-1.58
γ₁₀	0.0089	0.29

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other South Korean Won Analyses