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 Wednesday, May 25th, 2022:18.14% (+1.59%)

Analysis last updated: Tuesday, May 24, 2022, 06:37 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0361	13.60
$β$	0.8384	215.64
$γ$	0.1242	29.09
$λ_{1}$	0.0033	5.64
$λ_{2}$	0.0370	9.04
$λ_{3}$	0.9615	221.02

Estimation Period:
Jan 2, 1990 to May 20, 2022

News Impact Curve

Volatility Forecasts

Other Korea Stock Exchange KOSPI Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T

We are currently experiencing issues updating our data. Unfortunately, we do not have an estimate as to when these issues will be resolved. We apologize for any inconvenience and are working as hard as we can to resolve these issues as soon as possible.