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	1.4324	0.01
αARCH	0.4686	0.00
βGARCH	0.5314	0.00

γ₁	-113.4116	0.00
γ₂	128.4227	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4324	0.01
α ARCH Response to squared shocks	0.4686	0.00
β GARCH Volatility persistence	0.5314	0.00

γ₁	-113.4116	0.00
γ₂	128.4227	0.00

V-Lab

Esteem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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