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	0.0602	3.55***
αARCH	0.1051	6.34***
βGARCH	0.9057	87.39***
γleverage	-0.0216	-0.81

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0602	3.55***
α ARCH Response to squared shocks	0.1051	6.34***
β GARCH Volatility persistence	0.9057	87.39***
γ leverage Additional response to negative shocks	-0.0216	-0.81

V-Lab

Yw Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Yw Co Ltd Analyses