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	0.7831	7.02***
αARCH	0.0536	8.08***
βGARCH	0.9191	88.97***

γ₁	0.0534	3.30***
γ₂	-0.1202	-5.05***
γ₃	0.1033	7.21***
γ₄	-0.0435	-3.38***
γ₅	-0.0020	-0.14
γ₆	0.0796	3.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7831	7.02***
α ARCH Response to squared shocks	0.0536	8.08***
β GARCH Volatility persistence	0.9191	88.97***

γ₁	0.0534	3.30***
γ₂	-0.1202	-5.05***
γ₃	0.1033	7.21***
γ₄	-0.0435	-3.38***
γ₅	-0.0020	-0.14
γ₆	0.0796	3.36***

V-Lab

Samsung Electronics Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samsung Electronics Co Ltd Analyses