KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.3469	2.79***
αARCH	0.0000	0.00
βGARCH	0.9080	5.21***

γ₁	71.4390	2.24**
γ₂	-166.5276	-2.40**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3469	2.79***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9080	5.21***

γ₁	71.4390	2.24**
γ₂	-166.5276	-2.40**

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Esteem Co Ltd Spline-GARCH Volatility Analysis

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