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	1.0886	4.50***
αARCH	0.0636	4.53***
βGARCH	0.9292	56.33***

γ₁	-0.0074	-1.72*
γ₂	0.0108	2.04**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0886	4.50***
α ARCH Response to squared shocks	0.0636	4.53***
β GARCH Volatility persistence	0.9292	56.33***

γ₁	-0.0074	-1.72*
γ₂	0.0108	2.04**

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VT Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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