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	4.4117	6.62***
αARCH	0.2566	6.18***
βGARCH	0.6623	17.68***

γ₁	0.1838	8.17***
γ₂	-0.2837	-7.93***
γ₃	0.1676	6.18***
γ₄	-0.0940	-3.59***
γ₅	0.0338	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.4117	6.62***
α ARCH Response to squared shocks	0.2566	6.18***
β GARCH Volatility persistence	0.6623	17.68***

γ₁	0.1838	8.17***
γ₂	-0.2837	-7.93***
γ₃	0.1676	6.18***
γ₄	-0.0940	-3.59***
γ₅	0.0338	1.54

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