KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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{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	27.0692	1.49
αARCH	0.1060	35.83***
βGARCH	0.9966	458.64***
νDF	2.9449	42.27***

Parameter	Value	t-statistic
ω const Unconditional variance weight	27.0692	1.49
α ARCH Response to squared shocks	0.1060	35.83***
β GARCH Volatility persistence	0.9966	458.64***
ν DF Student-t tail thickness	2.9449	42.27***

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Korea Cast Iron Pipe Industries Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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