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

V-Lab

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V-Lab

South Korean Won Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:7.17% (+0.02%)

Analysis last updated: Tuesday, January 14, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4861	3.93
$α$	0.0652	7.33
$β$	0.9065	86.80
$γ_{1}$	0.1439	4.53
$γ_{2}$	-0.1982	-4.00
$γ_{3}$	0.1252	3.22
$γ_{4}$	-0.1663	-5.00
$γ_{5}$	0.1801	6.33
$γ_{6}$	-0.1358	-4.92
$γ_{7}$	0.0925	3.13
$γ_{8}$	-0.0886	-2.09

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts