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, April 18th, 2025:32.13% (-1.85%)

Analysis last updated: Thursday, April 17, 2025 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1222	6.37
$α$	0.0974	9.46
$β$	0.8604	62.63
$γ_{1}$	-0.0004	-0.01
$γ_{2}$	0.0724	1.61
$γ_{3}$	-0.1954	-6.47
$γ_{4}$	0.2125	7.55
$γ_{5}$	-0.1514	-5.47
$γ_{6}$	0.1111	3.82
$γ_{7}$	-0.0465	-1.66
$γ_{8}$	-0.0157	-0.78

Estimation Period:
Jan 2, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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