KOSPI 200 Volatility Index APARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
56.64%
1 Week
61.86%
1 Month
73.61%
Analysis last updated: Saturday, October 10, 2026 at 02:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2003 to Oct 8, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. The volatility power δ = 1.32 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8290 | 1.76* |
| αARCH | 0.0862 | 0.20 |
| βGARCH | 0.8231 | 30.06*** |
| γleverage | -1.0000 | -0.14 |
| δpower | 1.3225 | 4.53*** |
0.912
Persistence8d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8290 | 1.76* |
α ARCH Response to squared shocks | 0.0862 | 0.20 |
β GARCH Volatility persistence | 0.8231 | 30.06*** |
γ leverage Additional response to negative shocks | -1.0000 | -0.14 |
δ power Transformation power | 1.3225 | 4.53*** |
Persistence:
0.912
Half-life:
8 days
Other KOSPI 200 Volatility Index Analyses
Other APARCH Analyses on Volatility Indices