KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	0.0483	2.57**
αARCH	0.0416	6.76***
βGARCH	0.9538	197.68***
γleverage	0.1411	2.87***
δpower	2.0604	7.76***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0483	2.57**
α ARCH Response to squared shocks	0.0416	6.76***
β GARCH Volatility persistence	0.9538	197.68***
γ leverage Additional response to negative shocks	0.1411	2.87***
δ power Transformation power	2.0604	7.76***

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