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	4.3948	6.77***
αARCH	0.2611	6.20***
βGARCH	0.6515	17.08***

γ₁	0.1844	8.45***
γ₂	-0.2857	-8.21***
γ₃	0.1727	6.32***
γ₄	-0.1062	-3.51***
γ₅	0.0688	1.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3948	6.77***
α ARCH Response to squared shocks	0.2611	6.20***
β GARCH Volatility persistence	0.6515	17.08***

γ₁	0.1844	8.45***
γ₂	-0.2857	-8.21***
γ₃	0.1727	6.32***
γ₄	-0.1062	-3.51***
γ₅	0.0688	1.57

V-Lab

Han Kook Capital Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Han Kook Capital Co Ltd Analyses