Korea Stock Exchange KOSPI 200 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
55.48%
1 Week
55.32%
1 Month
54.68%
Analysis last updated: Friday, October 30, 2026 at 06:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 22, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 166 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 = 7.61 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.5137 | 1.46 |
| αscore | 0.0709 | 12.70*** |
| βpersistence | 0.9958 | 370.06*** |
| νDF | 7.6127 | 2.13** |
0.996
Persistence166d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.5137 | 1.46 |
α score Weight on the scaled score | 0.0709 | 12.70*** |
β persistence Volatility persistence | 0.9958 | 370.06*** |
ν DF Student-t tail thickness | 7.6127 | 2.13** |
Persistence:
0.996
Half-life:
166 days
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