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	31
αARCH	0.3677	4.78***
βGARCH	0.3731	5.87***
γleverage	-0.1172	-1.47
λ₁tau intercept	0.2641	1.26
λ₂forecast adj.	0.2437	1.59
λ₃tau persistence	0.7110	3.81***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.3677	4.78***
β GARCH Volatility persistence	0.3731	5.87***
γ leverage Additional response to negative shocks	-0.1172	-1.47
λ₁ tau intercept Baseline long-term coefficient	0.2641	1.26
λ₂ forecast adj. Forecast performance sensitivity	0.2437	1.59
λ₃ tau persistence Long-term factor persistence	0.7110	3.81***

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Han Kook Capital Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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