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

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V-Lab

South Korean Won Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:6.94% (-0.05%)

Analysis last updated: Tuesday, September 17, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5147	3.96
$α$	0.0653	7.34
$β$	0.9074	87.86
$γ_{1}$	0.1495	4.53
$γ_{2}$	-0.2073	-3.98
$γ_{3}$	0.1332	3.23
$γ_{4}$	-0.1740	-4.88
$γ_{5}$	0.1821	5.92
$γ_{6}$	-0.1300	-4.37
$γ_{7}$	0.0810	2.69
$γ_{8}$	-0.0678	-1.69

Estimation Period:
Jan 1, 1998 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts