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	1.8914	2.66***
αARCH	0.0230	0.30
βGARCH	0.0000	0.00

γ₁	-81.6738	-0.64
γ₂	298.1271	1.53
γ₃	-372.6430	-3.01***
γ₄	112.1088	1.12
γ₅	126.8375	1.86*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8914	2.66***
α ARCH Response to squared shocks	0.0230	0.30
β GARCH Volatility persistence	0.0000	0.00

γ₁	-81.6738	-0.64
γ₂	298.1271	1.53
γ₃	-372.6430	-3.01***
γ₄	112.1088	1.12
γ₅	126.8375	1.86*

V-Lab

Esteem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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