KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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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	1.6985	7.65***
αARCH	0.1198	6.64***
βGARCH	0.8442	36.17***

γ₁	-0.0040	-1.21
γ₂	0.0097	2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6985	7.65***
α ARCH Response to squared shocks	0.1198	6.64***
β GARCH Volatility persistence	0.8442	36.17***

γ₁	-0.0040	-1.21
γ₂	0.0097	2.28**

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Yw Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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