Korea Stock Exchange KOSPI 200 Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
53.12%
increased by 4.90%
1 Week
51.88%
increased by 3.66%
1 Month
47.59%
decreased by 0.63%
Analysis last updated: Friday, November 6, 2026 at 07:25 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Nov 5, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 22 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0807 | 5.79*** |
| αARCH | 0.0827 | 9.82*** |
| βGARCH | 0.8863 | 82.75*** |
Spline Coefficients
K=9
| γ1 | -0.0088 | -0.24 |
| γ2 | 0.0954 | 1.76* |
| γ3 | -0.2160 | -6.04*** |
| γ4 | 0.1952 | 5.44*** |
| γ5 | -0.0790 | -2.05** |
| γ6 | 0.0051 | 0.14 |
| γ7 | 0.0397 | 1.20 |
| γ8 | -0.0292 | -0.86 |
| γ9 | -0.0191 | -0.68 |
0.969
Persistence22d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0807 | 5.79*** |
α ARCH Response to squared shocks | 0.0827 | 9.82*** |
β GARCH Volatility persistence | 0.8863 | 82.75*** |
Spline Coefficients
K=9
| γ1 | -0.0088 | -0.24 |
| γ2 | 0.0954 | 1.76* |
| γ3 | -0.2160 | -6.04*** |
| γ4 | 0.1952 | 5.44*** |
| γ5 | -0.0790 | -2.05** |
| γ6 | 0.0051 | 0.14 |
| γ7 | 0.0397 | 1.20 |
| γ8 | -0.0292 | -0.86 |
| γ9 | -0.0191 | -0.68 |
Persistence:
0.969
Half-life:
22 days
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