Korea Stock Exchange KOSPI 200 Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
38.19%
increased by 1.33%
1 Week
38.16%
increased by 1.30%
1 Month
38.06%
increased by 1.20%
Analysis last updated: Saturday, October 10, 2026 at 02:29 AM 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 Oct 8, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 187 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 124% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.996, shock half-life ~187 daysLeverage: Negative returns increase volatility 124% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0173 | 4.50*** |
| αARCH | 0.0486 | 5.43*** |
| βGARCH | 0.9176 | 146.26*** |
| γleverage | 0.0601 | 3.37*** |
0.996
Persistence187d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0173 | 4.50*** |
α ARCH Response to squared shocks | 0.0486 | 5.43*** |
β GARCH Volatility persistence | 0.9176 | 146.26*** |
γ leverage Additional response to negative shocks | 0.0601 | 3.37*** |
Persistence:
0.996
Half-life:
187 days
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