Group Members: Mina Lee, Isha Vaish, Tom Zhang
The goal of our project is to estimate Korean Stock Market Volatility (VKOSPI) using the Korean Blue Chip Index (KOSPI). We will be using the Options in Korean Stock Market Dataset found on Kaggle. We will be trying various models such as GARCH, EGARCH, and IGARCH in hopes of achieving our goal.
The Korean Composite Stock Price Index (KOSPI) displays the stock prices of companies listed on the Korea Stock Exchange, and serves as a benchmark to gauge the overall movement of the market. It is also utilized to assess investment performance, compare returns with other financial instruments, and forecast economic conditions. The index was established on January 4, 1980, with a market capitalization of 100 as the baseline, and subsequent market capitalization is indexed to this point for comparison. Additionally, the Korea Exchange calculates and announces the Volatility Index, VKOSPI, which predicts the expected future volatility of the KOSPI 200 index based on option prices. This is similar to the Chicago Board Options Exchange's (CBOE) volatility index (VIX) that is calculated based on S&P 500 index options. VKOSPI is expected to function as both an investment indicator for detecting market fluctuation risks and an investment tool for managing volatility risk. During these times of uncertainty, market volatility has reached unprecedented levels. The VIX, also known as the "fear index," skyrocketed to its highest point amidst and even after the COVID-19 pandemic. Estimating volatility is essential in making informed investment decisions, thus our project aims to estimate the volatility of the Korean stock market using KOSPI200.
├── LICENSE
├── README.md
├── options_KR.csv
├── stock_analysis.Rmd
├── stock_analysis.html
└── Report
└── STAT131_FinalProjectReport.pdf
See Report/STAT131_FinalProjectReport.pdf for a detailed work completed for this project.