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

V-Lab

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

Volatility Prediction for Friday, June 20th, 2025:17.89% (-0.87%)

Analysis last updated: Thursday, June 19, 2025 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1142	6.38
$α$	0.0995	9.60
$β$	0.8565	61.86
$γ_{1}$	-0.0003	-0.01
$γ_{2}$	0.0704	1.59
$γ_{3}$	-0.1913	-6.48
$γ_{4}$	0.2092	7.62
$γ_{5}$	-0.1504	-5.62
$γ_{6}$	0.1127	3.98
$γ_{7}$	-0.0506	-1.84
$γ_{8}$	-0.0120	-0.60

Estimation Period:
Jan 2, 1990 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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