V-Lab
KOSPI 200 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
65.61%
decreased by 0.99%
1 Week
68.92%
increased by 2.32%
1 Month
75.78%
increased by 9.18%
Analysis last updated: Friday, September 25, 2026 at 09:05 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 Sep 23, 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 | 2.6133 | 3.89*** |
| αARCH | 0.2034 | 3.82*** |
| βGARCH | 0.8022 | 25.49*** |
| γleverage | -0.2034 | -3.32*** |
0.904
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6133 | 3.89*** |
α ARCH Response to squared shocks | 0.2034 | 3.82*** |
β GARCH Volatility persistence | 0.8022 | 25.49*** |
γ leverage Additional response to negative shocks | -0.2034 | -3.32*** |
Persistence:
0.904
Half-life:
7 days
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