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	18.8146	0.79
αARCH	0.1057	8.71***
βGARCH	0.9805	41.05***
νDF	3.0489	5.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	18.8146	0.79
α ARCH Response to squared shocks	0.1057	8.71***
β GARCH Volatility persistence	0.9805	41.05***
ν DF Student-t tail thickness	3.0489	5.48***

V-Lab

Bg T&A Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bg T&A Co Analyses