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

V-Lab

Korea Stock Exchange KOSPI Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 20th, 2025:17.49% (+0.03%)

Analysis last updated: Monday, May 19, 2025 at 07:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0514	6.02
$α$	0.0994	9.70
$β$	0.8567	62.27
$γ_{1}$	-0.0161	-0.52
$γ_{2}$	0.0945	2.13
$γ_{3}$	-0.2057	-6.99
$γ_{4}$	0.2207	8.03
$γ_{5}$	-0.1611	-5.94
$γ_{6}$	0.1244	4.24
$γ_{7}$	-0.0689	-2.22
$γ_{8}$	0.0342	0.75

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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