KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.1053	3.02***
αARCH	0.0686	4.55***
βGARCH	0.9322	71.50***
γleverage	-0.0084	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1053	3.02***
α ARCH Response to squared shocks	0.0686	4.55***
β GARCH Volatility persistence	0.9322	71.50***
γ leverage Additional response to negative shocks	-0.0084	-0.30

V-Lab

VT Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VT Co Ltd Analyses