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	0.8300	6.13***
αARCH	0.0531	8.47***
βGARCH	0.9277	103.58***

γ₁	0.0539	2.81***
γ₂	-0.1209	-4.25***
γ₃	0.1061	6.20***
γ₄	-0.0543	-3.64***
γ₅	0.0272	1.77*
γ₆	-0.0161	-1.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8300	6.13***
α ARCH Response to squared shocks	0.0531	8.47***
β GARCH Volatility persistence	0.9277	103.58***

γ₁	0.0539	2.81***
γ₂	-0.1209	-4.25***
γ₃	0.1061	6.20***
γ₄	-0.0543	-3.64***
γ₅	0.0272	1.77*
γ₆	-0.0161	-1.32

V-Lab

Samsung Electronics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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