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	0.9538	5.72***
αARCH	0.0979	7.99***
βGARCH	0.8778	59.09***

γ₁	0.0677	2.34**
γ₂	-0.1435	-3.16***
γ₃	0.1133	3.63***
γ₄	-0.0474	-1.29
γ₅	0.0216	0.47
γ₆	-0.0328	-0.70
γ₇	0.0366	1.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9538	5.72***
α ARCH Response to squared shocks	0.0979	7.99***
β GARCH Volatility persistence	0.8778	59.09***

γ₁	0.0677	2.34**
γ₂	-0.1435	-3.16***
γ₃	0.1133	3.63***
γ₄	-0.0474	-1.29
γ₅	0.0216	0.47
γ₆	-0.0328	-0.70
γ₇	0.0366	1.11

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Korea Cast Iron Pipe Industries Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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