V-Lab: Korea Stock Exchange KOSPI Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Korea Stock Exchange KOSPI Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 27th, 2023:16.25% (-0.51%)

Analysis last updated: Friday, March 24, 2023, 06:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0580	6.16
$α$	0.0926	10.40
$β$	0.8645	67.79
$γ_{1}$	-0.0256	-0.75
$γ_{2}$	0.1280	2.58
$γ_{3}$	-0.2483	-7.50
$γ_{4}$	0.2341	7.19
$γ_{5}$	-0.1325	-3.78
$γ_{6}$	0.0591	1.78
$γ_{7}$	0.0204	0.70
$γ_{8}$	-0.0593	-2.88

Estimation Period:
Jan 2, 1990 to Mar 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Korea Stock Exchange KOSPI Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH