Korea Stock Exchange KOSPI 200 Index APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
92.33%
1 Week
92.03%
1 Month
90.85%
Analysis last updated: Friday, July 17, 2026 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 16, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 193 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.77 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 117% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0155 | 20.19*** |
α ARCH Response to squared shocks | 0.0768 | 40.18*** |
β GARCH Volatility persistence | 0.9232 | 573.07*** |
γ leverage Additional response to negative shocks | 0.2154 | 16.77*** |
δ power Transformation power | 1.7662 | 45.60*** |
Persistence:
0.996
Half-life:
193 days
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