V-Lab: Korea Securities Dealers Association KOSDAQ Index MF2-GARCH Volatility Analysis

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V-Lab

Korea Securities Dealers Association KOSDAQ Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:14.44% (-0.07%)

Analysis last updated: Thursday, May 9, 2024 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0529	8.87
$β$	0.6209	70.54
$γ$	0.3153	29.73
$λ_{1}$	0.0190	5.36
$λ_{2}$	0.0592	7.68
$λ_{3}$	0.9345	108.66

Estimation Period:
Jan 3, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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