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	0.3753	2.43**
αARCH	0.2252	9.05***
βGARCH	0.6991	29.91***

γ₁	-0.2030	-4.17***
γ₂	0.2578	4.04***
γ₃	-0.0772	-2.67***
γ₄	0.0592	2.27**
γ₅	-0.0638	-2.55**
γ₆	0.0770	2.12**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3753	2.43**
α ARCH Response to squared shocks	0.2252	9.05***
β GARCH Volatility persistence	0.6991	29.91***

γ₁	-0.2030	-4.17***
γ₂	0.2578	4.04***
γ₃	-0.0772	-2.67***
γ₄	0.0592	2.27**
γ₅	-0.0638	-2.55**
γ₆	0.0770	2.12**

V-Lab

Korea Securities Dealers Association KOSDAQ Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Securities Dealers Association KOSDAQ Index Analyses