Korea Stock Exchange KOSPI 200 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
39.27%
1 Week
39.20%
1 Month
38.90%
Analysis last updated: Saturday, October 10, 2026 at 02:29 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 8, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 168 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 = 6.27 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.2298 | 1.38 |
| αARCH | 0.0622 | 13.30*** |
| βGARCH | 0.9959 | 366.67*** |
| νDF | 6.2734 | 2.78*** |
0.996
Persistence168d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.2298 | 1.38 |
α ARCH Response to squared shocks | 0.0622 | 13.30*** |
β GARCH Volatility persistence | 0.9959 | 366.67*** |
ν DF Student-t tail thickness | 6.2734 | 2.78*** |
Persistence:
0.996
Half-life:
168 days
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