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	4.3708	6.58***
αARCH	0.2560	6.17***
βGARCH	0.6632	17.73***

γ₁	0.1815	8.10***
γ₂	-0.2806	-7.89***
γ₃	0.1671	6.19***
γ₄	-0.0952	-3.66***
γ₅	0.0356	1.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3708	6.58***
α ARCH Response to squared shocks	0.2560	6.17***
β GARCH Volatility persistence	0.6632	17.73***

γ₁	0.1815	8.10***
γ₂	-0.2806	-7.89***
γ₃	0.1671	6.19***
γ₄	-0.0952	-3.66***
γ₅	0.0356	1.62

V-Lab

Han Kook Capital Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Han Kook Capital Co Ltd Analyses