Korea Stock Exchange KOSPI Index Asy. MEM Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
55.95%
increased by 4.86%
1 Week
55.64%
increased by 4.55%
1 Month
54.47%
increased by 3.38%
Analysis last updated: Wednesday, October 28, 2026 at 09:03 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 23, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 79 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 38% more than positive returns
μ
AMEM Model
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High persistence: persistence 0.991, shock half-life ~79 daysLeverage: Negative returns increase volatility 38% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0397 | 7.52*** |
| αARCH | 0.2282 | 12.83*** |
| βGARCH | 0.7200 | 58.95*** |
| γleverage | 0.0862 | 3.03*** |
0.991
Persistence79d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0397 | 7.52*** |
α ARCH Response to squared shocks | 0.2282 | 12.83*** |
β GARCH Volatility persistence | 0.7200 | 58.95*** |
γ leverage Additional response to negative shocks | 0.0862 | 3.03*** |
Persistence:
0.991
Half-life:
79 days
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