KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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	0.1522	4.78***
αARCH	0.1813	8.06***
βGARCH	0.8109	46.33***
γleverage	-0.1478	-0.76

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1522	4.78***
α ARCH Response to squared shocks	0.1813	8.06***
β GARCH Volatility persistence	0.8109	46.33***
γ leverage Additional response to negative shocks	-0.1478	-0.76

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Han Kook Capital Co Ltd AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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