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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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0243	2.69***
β GARCH Volatility persistence	0.8109	26.96***
γ leverage Additional response to negative shocks	0.0811	5.06***
λ₁ tau intercept Baseline long-term coefficient	0.0261	1.94*
λ₂ forecast adj. Forecast performance sensitivity	0.0375	5.13***
λ₃ tau persistence Long-term factor persistence	0.9607	126.11***

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SK Hynix Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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