V-Lab: KOSPI 200 Volatility Index MF2-GARCH Volatility Analysis

V-Lab

KOSPI 200 Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 13th, 2025:84.54% (-4.90%)

Analysis last updated: Saturday, June 14, 2025 at 12:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.2099	21.70
$β$	0.7931	62.43
$γ$	-0.2099	-23.45
$λ_{1}$	0.0996	2.20
$λ_{2}$	0.0057	3.14
$λ_{3}$	0.9909	383.62

Estimation Period:
Jan 1, 2003 to Jun 5, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other KOSPI 200 Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T