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

V-Lab

KOSPI 200 Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 4th, 2025:81.67% (-0.95%)

Analysis last updated: Saturday, July 5, 2025 at 02:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6719	7.54
$α$	0.1681	6.09
$β$	0.7001	16.32
$γ_{1}$	-0.0148	-0.62
$γ_{2}$	-0.0202	-0.55
$γ_{3}$	0.1019	3.16
$γ_{4}$	-0.1530	-3.91
$γ_{5}$	0.1938	3.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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