V-Lab
Korea Stock Exchange KOSPI 200 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
89.20%
increased by 4.62%
1 Week
88.90%
increased by 4.32%
1 Month
87.72%
increased by 3.14%
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 184 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.29 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3326 | 5.65*** |
α ARCH Response to squared shocks | 0.0610 | 54.93*** |
β GARCH Volatility persistence | 0.9962 | 1,668.73*** |
ν DF Student-t tail thickness | 6.2903 | 11.51*** |
Persistence:
0.996
Half-life:
184 days
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