KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0000	0.00
αARCH	1.0013
βGARCH	0.2910
γleverage	-0.5854

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	0.00
α ARCH Response to squared shocks	1.0013
β GARCH Volatility persistence	0.2910
γ leverage Additional response to negative shocks	-0.5854

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Pusan Cast Iron Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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