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	0.4310	1.96**
αARCH	0.1783	6.07***
βGARCH	0.8203	27.47***

γ₁	-0.2366	-0.06
γ₂	-1.4899	-0.21
γ₃	4.5302	0.63
γ₄	-7.0506	-1.11
γ₅	10.0347	2.16**
γ₆	-12.5231	-2.42**
γ₇	15.4688	2.09**
γ₈	-22.8414	-2.27**
γ₉	34.4279	2.43**
γ₁₀	-31.7640	-2.53**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4310	1.96**
α ARCH Response to squared shocks	0.1783	6.07***
β GARCH Volatility persistence	0.8203	27.47***

γ₁	-0.2366	-0.06
γ₂	-1.4899	-0.21
γ₃	4.5302	0.63
γ₄	-7.0506	-1.11
γ₅	10.0347	2.16**
γ₆	-12.5231	-2.42**
γ₇	15.4688	2.09**
γ₈	-22.8414	-2.27**
γ₉	34.4279	2.43**
γ₁₀	-31.7640	-2.53**

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Asia Pacific No 8 Ship Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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