KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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	0.8212	6.20***
αARCH	0.0543	8.55***
βGARCH	0.9254	102.84***

γ₁	0.0532	2.84***
γ₂	-0.1200	-4.32***
γ₃	0.1058	6.34***
γ₄	-0.0543	-3.74***
γ₅	0.0273	1.82*
γ₆	-0.0162	-1.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8212	6.20***
α ARCH Response to squared shocks	0.0543	8.55***
β GARCH Volatility persistence	0.9254	102.84***

γ₁	0.0532	2.84***
γ₂	-0.1200	-4.32***
γ₃	0.1058	6.34***
γ₄	-0.0543	-3.74***
γ₅	0.0273	1.82*
γ₆	-0.0162	-1.36

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Samsung Electronics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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