V-Lab: Korea Stock Exchange KOSPI Index MF2-GARCH Volatility Analysis

V-Lab

Korea Stock Exchange KOSPI Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:15.91% (-0.46%)

Analysis last updated: Friday, May 16, 2025 at 07:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0308	11.43
$β$	0.8175	164.18
$γ$	0.1441	30.31
$λ_{1}$	0.0023	4.82
$λ_{2}$	0.0233	9.05
$λ_{3}$	0.9756	351.95

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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