V-Lab
KOSPI 200 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
59.55%
decreased by 0.50%
1 Week
64.17%
increased by 4.12%
1 Month
73.48%
increased by 13.43%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2003 to Aug 27, 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 | 2.5773 | 3.86*** |
| αARCH | 0.2036 | 3.83*** |
| βGARCH | 0.8035 | 25.68*** |
| γleverage | -0.2036 | -3.32*** |
0.905
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5773 | 3.86*** |
α ARCH Response to squared shocks | 0.2036 | 3.83*** |
β GARCH Volatility persistence | 0.8035 | 25.68*** |
γ leverage Additional response to negative shocks | -0.2036 | -3.32*** |
Persistence:
0.905
Half-life:
7 days
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