KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.0886	4.48***
αARCH	0.0637	4.51***
βGARCH	0.9292	55.99***

γ₁	-0.0075	-1.73*
γ₂	0.0110	2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0886	4.48***
α ARCH Response to squared shocks	0.0637	4.51***
β GARCH Volatility persistence	0.9292	55.99***

γ₁	-0.0075	-1.73*
γ₂	0.0110	2.05**

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VT Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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