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	60.8337	1.85*
αARCH	0.1225	35.34***
βGARCH	0.9979	937.88***
νDF	3.5174	31.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	60.8337	1.85*
α ARCH Response to squared shocks	0.1225	35.34***
β GARCH Volatility persistence	0.9979	937.88***
ν DF Student-t tail thickness	3.5174	31.49***

V-Lab

Chinyang Poly Urethane Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chinyang Poly Urethane Co Ltd Analyses