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	0.7568	7.00***
αARCH	0.2144	8.50***
βGARCH	0.6649	18.42***

γ₁	-0.0290	-0.63
γ₂	0.0938	1.38
γ₃	-0.2182	-4.26***
γ₄	0.2342	3.79***
γ₅	-0.0038	-0.06
γ₆	-0.2626	-4.43***
γ₇	0.3773	7.15***
γ₈	-0.2602	-4.53***
γ₉	0.0616	0.91
γ₁₀	0.0067	0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7568	7.00***
α ARCH Response to squared shocks	0.2144	8.50***
β GARCH Volatility persistence	0.6649	18.42***

γ₁	-0.0290	-0.63
γ₂	0.0938	1.38
γ₃	-0.2182	-4.26***
γ₄	0.2342	3.79***
γ₅	-0.0038	-0.06
γ₆	-0.2626	-4.43***
γ₇	0.3773	7.15***
γ₈	-0.2602	-4.53***
γ₉	0.0616	0.91
γ₁₀	0.0067	0.13

V-Lab

Chinyang Poly Urethane Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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