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	0.7559	6.76***
αARCH	0.2226	8.70***
βGARCH	0.6623	18.65***

γ₁	-0.0342	-0.72
γ₂	0.1018	1.46
γ₃	-0.2218	-4.26***
γ₄	0.2345	3.76***
γ₅	-0.0020	-0.03
γ₆	-0.2675	-4.44***
γ₇	0.3880	7.25***
γ₈	-0.2753	-4.88***
γ₉	0.0750	1.12
γ₁₀	-0.0004	-0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7559	6.76***
α ARCH Response to squared shocks	0.2226	8.70***
β GARCH Volatility persistence	0.6623	18.65***

γ₁	-0.0342	-0.72
γ₂	0.1018	1.46
γ₃	-0.2218	-4.26***
γ₄	0.2345	3.76***
γ₅	-0.0020	-0.03
γ₆	-0.2675	-4.44***
γ₇	0.3880	7.25***
γ₈	-0.2753	-4.88***
γ₉	0.0750	1.12
γ₁₀	-0.0004	-0.01

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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