KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	16.2044	2.32**
α ARCH Response to squared shocks	0.0351	1.83*
β GARCH Volatility persistence	0.9450	13.74***
ν DF Student-t tail thickness	5.2625	0.43

V-Lab

APR Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other APR Co Ltd Analyses