KOSPI 200 Volatility Index AGARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
56.53%
decreased by 0.60%
1 Week
64.72%
increased by 7.59%
1 Month
78.15%
increased by 21.02%
Analysis last updated: Saturday, October 10, 2026 at 02:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2003 to Oct 8, 2026Model Insight
The news-impact curve is shifted (γ = -2.93) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.5840 | 2.62*** |
| αARCH | 0.1394 | 6.42*** |
| βGARCH | 0.7380 | 29.64*** |
| γleverage | -2.9307 | -3.46*** |
0.877
Persistence5d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5840 | 2.62*** |
α ARCH Response to squared shocks | 0.1394 | 6.42*** |
β GARCH Volatility persistence | 0.7380 | 29.64*** |
γ leverage Additional response to negative shocks | -2.9307 | -3.46*** |
Persistence:
0.877
Half-life:
5 days
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