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, December 1st, 2025:5.90% (-0.17%)

Analysis last updated: Sunday, November 30, 2025 at 01:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3328	3.78
$α$	0.0640	7.30
$β$	0.9088	89.56
$γ_{1}$	0.1250	4.20
$γ_{2}$	-0.1693	-3.70
$γ_{3}$	0.1016	2.85
$γ_{4}$	-0.1390	-4.58
$γ_{5}$	0.1600	6.24
$γ_{6}$	-0.1288	-5.42
$γ_{7}$	0.0934	3.59
$γ_{8}$	-0.0978	-2.37

Estimation Period:
Jan 1, 1998 to Nov 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts