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
mwindow	21
αARCH	0.1711	7.27***
βGARCH	0.6495	16.59***
γleverage	-0.0152	-0.48
λ₁tau intercept	0.0404	1.90*
λ₂forecast adj.	0.0414	3.00***
λ₃tau persistence	0.9531	60.48***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1711	7.27***
β GARCH Volatility persistence	0.6495	16.59***
γ leverage Additional response to negative shocks	-0.0152	-0.48
λ₁ tau intercept Baseline long-term coefficient	0.0404	1.90*
λ₂ forecast adj. Forecast performance sensitivity	0.0414	3.00***
λ₃ tau persistence Long-term factor persistence	0.9531	60.48***

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Korea Cast Iron Pipe Industries Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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