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	0.0647	3.22***
αARCH	0.0947	7.11***
βGARCH	0.9053	79.55***
γleverage	-0.0655	-0.79
δpower	1.8440	8.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0647	3.22***
α ARCH Response to squared shocks	0.0947	7.11***
β GARCH Volatility persistence	0.9053	79.55***
γ leverage Additional response to negative shocks	-0.0655	-0.79
δ power Transformation power	1.8440	8.34***

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Yw Co Ltd APARCH Volatility Analysis

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