US Dollar to South Korean Won GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
10.64%
decreased by 0.26%
1 Week
10.65%
decreased by 0.25%
1 Month
10.67%
decreased by 0.23%
Analysis last updated: Friday, June 12, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0002 | 15.73 | |
| 0.0637 | 26.93 | |
| 0.9473 | 835.35 | |
| -0.0220 | -7.06 |
Estimation Period:
May 30, 1990 to Jun 12, 2026
May 30, 1990 to Jun 12, 2026
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