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

V-Lab

|

V-Lab

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

Volatility Prediction for Monday, November 28th, 2022:16.63% (-0.74%)

Analysis last updated: Friday, November 25, 2022, 06:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0481	6.09
$α$	0.0932	10.40
$β$	0.8638	67.37
$γ_{1}$	-0.0307	-0.87
$γ_{2}$	0.1380	2.72
$γ_{3}$	-0.2550	-7.56
$γ_{4}$	0.2315	6.93
$γ_{5}$	-0.1200	-3.32
$γ_{6}$	0.0412	1.23
$γ_{7}$	0.0371	1.25
$γ_{8}$	-0.0680	-3.24

Estimation Period:
Jan 2, 1990 to Nov 25, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Korea Stock Exchange KOSPI Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH