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 Monday, June 30th, 2025:19.95% (-0.68%)

Analysis last updated: Friday, June 27, 2025 at 07:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1167	6.40
$α$	0.0989	9.59
$β$	0.8572	62.14
$γ_{1}$	0.0007	0.02
$γ_{2}$	0.0684	1.55
$γ_{3}$	-0.1895	-6.42
$γ_{4}$	0.2083	7.58
$γ_{5}$	-0.1504	-5.64
$γ_{6}$	0.1132	4.01
$γ_{7}$	-0.0511	-1.86
$γ_{8}$	-0.0118	-0.60

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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