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
ωlong-run	48.9903	1.48
αscore	0.1344	28.24***
βpersistence	0.9973	580.51***
νDF	4.4450	13.90***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	48.9903	1.48
α score Weight on the scaled score	0.1344	28.24***
β persistence Volatility persistence	0.9973	580.51***
ν DF Student-t tail thickness	4.4450	13.90***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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