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	0.2788	6.43***
βGARCH	0.6121	18.43***
γleverage	-0.0765	-1.51
λ₁tau intercept	0.0978	1.79*
λ₂forecast adj.	0.0607	3.67***
λ₃tau persistence	0.9351	50.53***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.2788	6.43***
β GARCH Volatility persistence	0.6121	18.43***
γ leverage Additional response to negative shocks	-0.0765	-1.51
λ₁ tau intercept Baseline long-term coefficient	0.0978	1.79*
λ₂ forecast adj. Forecast performance sensitivity	0.0607	3.67***
λ₃ tau persistence Long-term factor persistence	0.9351	50.53***

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Chinyang Poly Urethane Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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