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	17.9336	2.10**
αARCH	0.0421	12.36***
βGARCH	0.9980	1,116.29***
νDF	7.4743	2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	17.9336	2.10**
α ARCH Response to squared shocks	0.0421	12.36***
β GARCH Volatility persistence	0.9980	1,116.29***
ν DF Student-t tail thickness	7.4743	2.28**

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SK Hynix Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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