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	1.2991	0.23
αARCH	0.0000	0.00
βGARCH	0.9851	0.10

γ₁	76.2941	0.07
γ₂	80.4178	0.15
γ₃	-366.3682	-1.18
γ₄	307.9817	2.49**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2991	0.23
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9851	0.10

γ₁	76.2941	0.07
γ₂	80.4178	0.15
γ₃	-366.3682	-1.18
γ₄	307.9817	2.49**

V-Lab

Esteem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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