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	0.3837	2.41**
αARCH	0.2233	8.95***
βGARCH	0.7060	30.87***

γ₁	-0.1996	-4.10***
γ₂	0.2514	3.93***
γ₃	-0.0696	-2.38**
γ₄	0.0464	1.78*
γ₅	-0.0373	-1.63
γ₆	0.0040	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3837	2.41**
α ARCH Response to squared shocks	0.2233	8.95***
β GARCH Volatility persistence	0.7060	30.87***

γ₁	-0.1996	-4.10***
γ₂	0.2514	3.93***
γ₃	-0.0696	-2.38**
γ₄	0.0464	1.78*
γ₅	-0.0373	-1.63
γ₆	0.0040	0.24

V-Lab

Korea Securities Dealers Association KOSDAQ Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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