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	1.3707	4.61***
αARCH	0.1178	6.73***
βGARCH	0.8382	33.88***

γ₁	-0.0221	-0.41
γ₂	0.0130	0.17
γ₃	-0.0137	-0.28
γ₄	0.0920	2.20**
γ₅	-0.1568	-3.32***
γ₆	0.2358	2.46**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3707	4.61***
α ARCH Response to squared shocks	0.1178	6.73***
β GARCH Volatility persistence	0.8382	33.88***

γ₁	-0.0221	-0.41
γ₂	0.0130	0.17
γ₃	-0.0137	-0.28
γ₄	0.0920	2.20**
γ₅	-0.1568	-3.32***
γ₆	0.2358	2.46**

V-Lab

Yw Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Yw Co Ltd Analyses