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, January 25th, 2022:15.90% (+1.03%)

Analysis last updated: Monday, January 24, 2022, 06:39 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0000	5.76
$α$	0.0932	10.30
$β$	0.8643	67.45
$γ_{1}$	-0.0527	-1.40
$γ_{2}$	0.1770	3.28
$γ_{3}$	-0.2769	-7.81
$γ_{4}$	0.2219	6.21
$γ_{5}$	-0.0786	-2.03
$γ_{6}$	-0.0182	-0.52
$γ_{7}$	0.0999	2.69
$γ_{8}$	-0.1446	-2.62

Estimation Period:
Jan 2, 1990 to Jan 21, 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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