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 Monday, November 10th, 2025:6.84% (+0.33%)

Analysis last updated: Friday, November 7, 2025 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3415	3.79
$α$	0.0642	7.30
$β$	0.9083	88.92
$γ_{1}$	0.1260	4.23
$γ_{2}$	-0.1707	-3.72
$γ_{3}$	0.1027	2.88
$γ_{4}$	-0.1404	-4.62
$γ_{5}$	0.1612	6.29
$γ_{6}$	-0.1294	-5.43
$γ_{7}$	0.0934	3.57
$γ_{8}$	-0.0957	-2.26

Estimation Period:
Jan 1, 1998 to Nov 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts