KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0771	1.71*
αARCH	0.1352	9.40***
βGARCH	0.8614	96.32***
γleverage	0.0292	1.26
δpower	1.9216	4.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0771	1.71*
α ARCH Response to squared shocks	0.1352	9.40***
β GARCH Volatility persistence	0.8614	96.32***
γ leverage Additional response to negative shocks	0.0292	1.26
δ power Transformation power	1.9216	4.18***

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SK Hynix Inc Asy. Power MEM Volatility Analysis

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