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 Wednesday, May 25th, 2022:18.80% (+0.47%)

Analysis last updated: Tuesday, May 24, 2022, 06:35 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0351	5.98
$α$	0.0936	10.31
$β$	0.8638	67.03
$γ_{1}$	-0.0389	-1.06
$γ_{2}$	0.1537	2.92
$γ_{3}$	-0.2639	-7.58
$γ_{4}$	0.2235	6.42
$γ_{5}$	-0.0954	-2.54
$γ_{6}$	0.0100	0.30
$γ_{7}$	0.0618	2.07
$γ_{8}$	-0.0777	-3.61

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

News Impact Curve

Volatility Forecasts

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APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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