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 Thursday, April 25th, 2024:8.20% (+0.09%)

Analysis last updated: Wednesday, April 24, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3754	3.81
$α$	0.0644	7.32
$β$	0.9104	91.23
$γ_{1}$	0.1431	4.02
$γ_{2}$	-0.1991	-3.50
$γ_{3}$	0.1314	2.90
$γ_{4}$	-0.1719	-4.34
$γ_{5}$	0.1726	5.01
$γ_{6}$	-0.1120	-3.47
$γ_{7}$	0.0599	2.14
$γ_{8}$	-0.0385	-1.98

Estimation Period:
Jan 1, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts