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

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V-Lab

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

Volatility Prediction for Thursday, October 5th, 2023:18.93% (+3.74%)

Analysis last updated: Wednesday, October 4, 2023 at 06:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0752	6.18
$α$	0.0920	10.50
$β$	0.8664	70.32
$γ_{1}$	-0.0190	-0.57
$γ_{2}$	0.1141	2.34
$γ_{3}$	-0.2375	-7.28
$γ_{4}$	0.2356	7.44
$γ_{5}$	-0.1486	-4.41
$γ_{6}$	0.0867	2.63
$γ_{7}$	-0.0145	-0.50
$γ_{8}$	-0.0320	-1.62

Estimation Period:
Jan 2, 1990 to Sep 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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