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
ωlong-run	17.4973	0.94
αscore	0.0378	0.36
βpersistence	0.8872	1.59
νDF	6.5880	0.06

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	17.4973	0.94
α score Weight on the scaled score	0.0378	0.36
β persistence Volatility persistence	0.8872	1.59
ν DF Student-t tail thickness	6.5880	0.06

V-Lab

APR Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other APR Co Ltd Analyses