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

V-Lab

South Korean Won Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:8.35% (-0.25%)

Analysis last updated: Friday, May 30, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2656	3.68
$α$	0.0644	7.25
$β$	0.9082	88.67
$γ_{1}$	0.1236	3.88
$γ_{2}$	-0.1676	-3.41
$γ_{3}$	0.1044	2.76
$γ_{4}$	-0.1459	-4.57
$γ_{5}$	0.1637	6.07
$γ_{6}$	-0.1240	-4.91
$γ_{7}$	0.0774	3.12
$γ_{8}$	-0.0484	-2.57

Estimation Period:
Jan 1, 1998 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts