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	1.0486	5.67***
αARCH	0.1005	10.15***
βGARCH	0.8612	68.36***

γ₁	-0.0313	-0.81
γ₂	0.1398	2.51**
γ₃	-0.2538	-6.88***
γ₄	0.2202	6.01***
γ₅	-0.0996	-2.51**
γ₆	0.0222	0.61
γ₇	0.0409	1.21
γ₈	-0.0427	-1.23
γ₉	-0.0109	-0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0486	5.67***
α ARCH Response to squared shocks	0.1005	10.15***
β GARCH Volatility persistence	0.8612	68.36***

γ₁	-0.0313	-0.81
γ₂	0.1398	2.51**
γ₃	-0.2538	-6.88***
γ₄	0.2202	6.01***
γ₅	-0.0996	-2.51**
γ₆	0.0222	0.61
γ₇	0.0409	1.21
γ₈	-0.0427	-1.23
γ₉	-0.0109	-0.38

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