KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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	0.8325	5.63***
αARCH	0.1909	6.00***
βGARCH	0.7125	17.58***

γ₁	-0.2672	-1.70*
γ₂	0.1605	0.66
γ₃	0.4097	1.95*
γ₄	-0.4668	-2.05**
γ₅	-0.0012	-0.01
γ₆	0.4938	3.06***
γ₇	-0.6927	-3.41***
γ₈	0.6618	2.67***
γ₉	-0.3962	-2.07**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8325	5.63***
α ARCH Response to squared shocks	0.1909	6.00***
β GARCH Volatility persistence	0.7125	17.58***

γ₁	-0.2672	-1.70*
γ₂	0.1605	0.66
γ₃	0.4097	1.95*
γ₄	-0.4668	-2.05**
γ₅	-0.0012	-0.01
γ₆	0.4938	3.06***
γ₇	-0.6927	-3.41***
γ₈	0.6618	2.67***
γ₉	-0.3962	-2.07**

V-Lab

Bg T&A Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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