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

V-Lab

|

V-Lab

Korea Stock Exchange KOSPI Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:17.87% (+4.04%)

Analysis last updated: Wednesday, October 4, 2023 at 06:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0581	6.15
$α$	0.0919	10.50
$β$	0.8657	69.01
$γ_{1}$	-0.0251	-0.75
$γ_{2}$	0.1242	2.57
$γ_{3}$	-0.2444	-7.61
$γ_{4}$	0.2398	7.69
$γ_{5}$	-0.1484	-4.44
$γ_{6}$	0.0781	2.36
$γ_{7}$	0.0126	0.39
$γ_{8}$	-0.1094	-2.48

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

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
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH