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
mwindow	36
αARCH	0.2810	6.51***
βGARCH	0.6156	18.79***
γleverage	-0.0781	-1.55
λ₁tau intercept	0.1016	1.81*
λ₂forecast adj.	0.0578	3.58***
λ₃tau persistence	0.9370	50.58***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.2810	6.51***
β GARCH Volatility persistence	0.6156	18.79***
γ leverage Additional response to negative shocks	-0.0781	-1.55
λ₁ tau intercept Baseline long-term coefficient	0.1016	1.81*
λ₂ forecast adj. Forecast performance sensitivity	0.0578	3.58***
λ₃ tau persistence Long-term factor persistence	0.9370	50.58***

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Chinyang Poly Urethane Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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