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	46
αARCH	0.1667	7.10***
βGARCH	0.5967	8.72***
γleverage	-0.0169	-0.46
λ₁tau intercept	0.2717	0.80
λ₂forecast adj.	0.1708	0.91
λ₃tau persistence	0.8184	4.06***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1667	7.10***
β GARCH Volatility persistence	0.5967	8.72***
γ leverage Additional response to negative shocks	-0.0169	-0.46
λ₁ tau intercept Baseline long-term coefficient	0.2717	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.1708	0.91
λ₃ tau persistence Long-term factor persistence	0.8184	4.06***

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VT Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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