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	1.0837	5.88***
αARCH	0.0820	9.56***
βGARCH	0.8861	79.15***

γ₁	-0.0093	-0.25
γ₂	0.0976	1.82*
γ₃	-0.2191	-6.20***
γ₄	0.1960	5.49***
γ₅	-0.0773	-2.02**
γ₆	0.0025	0.07
γ₇	0.0427	1.30
γ₈	-0.0329	-0.97
γ₉	-0.0156	-0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0837	5.88***
α ARCH Response to squared shocks	0.0820	9.56***
β GARCH Volatility persistence	0.8861	79.15***

γ₁	-0.0093	-0.25
γ₂	0.0976	1.82*
γ₃	-0.2191	-6.20***
γ₄	0.1960	5.49***
γ₅	-0.0773	-2.02**
γ₆	0.0025	0.07
γ₇	0.0427	1.30
γ₈	-0.0329	-0.97
γ₉	-0.0156	-0.56

V-Lab

Korea Stock Exchange KOSPI 200 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI 200 Index Analyses