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 Wednesday, July 2nd, 2025:20.01% (-0.64%)

Analysis last updated: Tuesday, July 1, 2025 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1184	6.42
$α$	0.0989	9.75
$β$	0.8574	62.89
$γ_{1}$	-0.0011	-0.04
$γ_{2}$	0.0729	1.66
$γ_{3}$	-0.1957	-6.66
$γ_{4}$	0.2160	7.89
$γ_{5}$	-0.1596	-5.95
$γ_{6}$	0.1252	4.31
$γ_{7}$	-0.0721	-2.35
$γ_{8}$	0.0415	0.97

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

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