KOSPI 200 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
197.06%
increased by 57.37%
1 Week
182.35%
increased by 42.66%
1 Month
144.25%
increased by 4.56%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM 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
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.6104 | 3.90*** |
| αARCH | 0.2035 | 3.83*** |
| βGARCH | 0.8022 | 25.51*** |
| γleverage | -0.2035 | -3.32*** |
0.904
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6104 | 3.90*** |
α ARCH Response to squared shocks | 0.2035 | 3.83*** |
β GARCH Volatility persistence | 0.8022 | 25.51*** |
γ leverage Additional response to negative shocks | -0.2035 | -3.32*** |
Persistence:
0.904
Half-life:
7 days
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