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 2nd, 2025:18.87% (-0.46%)

Analysis last updated: Friday, May 30, 2025 at 07:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1150	6.40
$α$	0.0993	9.57
$β$	0.8567	61.80
$γ_{1}$	-0.0005	-0.02
$γ_{2}$	0.0709	1.61
$γ_{3}$	-0.1918	-6.49
$γ_{4}$	0.2098	7.62
$γ_{5}$	-0.1511	-5.62
$γ_{6}$	0.1132	3.98
$γ_{7}$	-0.0507	-1.84
$γ_{8}$	-0.0119	-0.60

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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