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	1.0675	5.82***
αARCH	0.1006	10.13***
βGARCH	0.8607	67.78***

γ₁	-0.0277	-0.72
γ₂	0.1351	2.44**
γ₃	-0.2517	-6.82***
γ₄	0.2180	5.94***
γ₅	-0.0973	-2.45**
γ₆	0.0208	0.57
γ₇	0.0401	1.19
γ₈	-0.0399	-1.15
γ₉	-0.0131	-0.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0675	5.82***
α ARCH Response to squared shocks	0.1006	10.13***
β GARCH Volatility persistence	0.8607	67.78***

γ₁	-0.0277	-0.72
γ₂	0.1351	2.44**
γ₃	-0.2517	-6.82***
γ₄	0.2180	5.94***
γ₅	-0.0973	-2.45**
γ₆	0.0208	0.57
γ₇	0.0401	1.19
γ₈	-0.0399	-1.15
γ₉	-0.0131	-0.46

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