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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0719	5.86***
α ARCH Response to squared shocks	0.1006	10.08***
β GARCH Volatility persistence	0.8605	66.82***

γ₁	-0.0271	-0.71
γ₂	0.1344	2.44**
γ₃	-0.2513	-6.83***
γ₄	0.2168	5.93***
γ₅	-0.0956	-2.42**
γ₆	0.0189	0.52
γ₇	0.0421	1.25
γ₈	-0.0418	-1.20
γ₉	-0.0119	-0.42

V-Lab

Korea Stock Exchange KOSPI Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses