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	0.9993	5.97***
αARCH	0.1007	9.82***
βGARCH	0.8527	60.55***

γ₁	-0.0429	-1.20
γ₂	0.1595	3.12***
γ₃	-0.2689	-8.00***
γ₄	0.2329	6.90***
γ₅	-0.1075	-2.93***
γ₆	0.0171	0.51
γ₇	0.0698	2.18**
γ₈	-0.1164	-3.28***
γ₉	0.2162	3.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9993	5.97***
α ARCH Response to squared shocks	0.1007	9.82***
β GARCH Volatility persistence	0.8527	60.55***

γ₁	-0.0429	-1.20
γ₂	0.1595	3.12***
γ₃	-0.2689	-8.00***
γ₄	0.2329	6.90***
γ₅	-0.1075	-2.93***
γ₆	0.0171	0.51
γ₇	0.0698	2.18**
γ₈	-0.1164	-3.28***
γ₉	0.2162	3.80***

V-Lab

Korea Stock Exchange KOSPI Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses