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	1.0000	0.35
αARCH	0.1713	1.68*
βGARCH	0.6544	4.31***
γleverage	0.3940	1.55
δpower	0.8508	0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.35
α ARCH Response to squared shocks	0.1713	1.68*
β GARCH Volatility persistence	0.6544	4.31***
γ leverage Additional response to negative shocks	0.3940	1.55
δ power Transformation power	0.8508	0.66

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Esteem Co Ltd Asy. Power MEM Volatility Analysis

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