Korea Stock Exchange KOSPI Index APARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
82.90%
1 Week
82.33%
1 Month
80.13%
Analysis last updated: Tuesday, July 21, 2026 at 12:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 16, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 97 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.68 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 113% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0203 | 25.00*** |
α ARCH Response to squared shocks | 0.0958 | 44.60*** |
β GARCH Volatility persistence | 0.9042 | 478.18*** |
γ leverage Additional response to negative shocks | 0.2211 | 17.20*** |
δ power Transformation power | 1.6791 | 43.25*** |
Persistence:
0.993
Half-life:
97 days
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