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
ωlong-run	18.6245	0.80
αscore	0.1055	8.69***
βpersistence	0.9805	41.12***
νDF	3.0547	5.44***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	18.6245	0.80
α score Weight on the scaled score	0.1055	8.69***
β persistence Volatility persistence	0.9805	41.12***
ν DF Student-t tail thickness	3.0547	5.44***

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