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 Friday, July 1st, 2022:23.88% (+0.54%)

Analysis last updated: Thursday, June 30, 2022, 06:57 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0086	5.82
$α$	0.0935	10.37
$β$	0.8639	67.23
$γ_{1}$	-0.0473	-1.29
$γ_{2}$	0.1667	3.17
$γ_{3}$	-0.2728	-7.89
$γ_{4}$	0.2325	6.69
$γ_{5}$	-0.1031	-2.73
$γ_{6}$	0.0122	0.35
$γ_{7}$	0.0713	1.94
$γ_{8}$	-0.1105	-1.88

Estimation Period:
Jan 2, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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

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