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

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V-Lab

Korea Stock Exchange KOSPI Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 27th, 2023:15.68% (-0.53%)

Analysis last updated: Friday, March 24, 2023, 06:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0602	6.21
$α$	0.0925	10.41
$β$	0.8645	67.73
$γ_{1}$	-0.0278	-0.81
$γ_{2}$	0.1333	2.70
$γ_{3}$	-0.2549	-7.75
$γ_{4}$	0.2404	7.40
$γ_{5}$	-0.1368	-3.88
$γ_{6}$	0.0592	1.74
$γ_{7}$	0.0278	0.81
$γ_{8}$	-0.0838	-1.58

Estimation Period:
Jan 2, 1990 to Mar 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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