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

V-Lab

KOSPI 200 Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 16th, 2025:108.72% (-2.00%)

Analysis last updated: Saturday, May 17, 2025 at 12:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7046	7.04
$α$	0.1667	6.00
$β$	0.6965	15.85
$γ_{1}$	0.0227	0.38
$γ_{2}$	-0.0720	-0.71
$γ_{3}$	0.0356	0.46
$γ_{4}$	0.0960	1.57
$γ_{5}$	-0.1336	-2.25
$γ_{6}$	-0.0253	-0.30
$γ_{7}$	0.3297	2.16

Estimation Period:
Jan 1, 2003 to Apr 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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APARCH
AGARCH
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GAS-GARCH Student T
MF2-GARCH