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KOSPI 200 Volatility Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Friday, August 21st, 2026

1 Day

97.66%

increased by 4.19%

1 Week

95.95%

increased by 2.48%

1 Month

91.85%

decreased by 1.62%

Analysis last updated: Friday, August 21, 2026 at 08:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of KOSPI 200 Volatility Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 2003 to Jul 16, 2026

Model Insight

Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. Returns follow a Student-t distribution with v = 4.76 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

29.7126
11.53***
α

ARCH

Response to squared shocks

0.1370
20.87***
β

GARCH

Volatility persistence

0.9120
109.88***
ν

DF

Student-t tail thickness

4.7635
7.31***

Persistence:

0.912

Half-life:

8 days