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	0.9450	5.63***
αARCH	0.0817	9.04***
βGARCH	0.8765	68.49***

γ₁	-0.0670	-1.55
γ₂	0.1964	3.18***
γ₃	-0.2471	-5.69***
γ₄	0.1048	2.32**
γ₅	0.0869	1.96**
γ₆	-0.1400	-3.53***
γ₇	0.0993	2.39**
γ₈	0.0014	0.03
γ₉	-0.0916	-2.12**
γ₁₀	0.2672	3.77***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9450	5.63***
α ARCH Response to squared shocks	0.0817	9.04***
β GARCH Volatility persistence	0.8765	68.49***

γ₁	-0.0670	-1.55
γ₂	0.1964	3.18***
γ₃	-0.2471	-5.69***
γ₄	0.1048	2.32**
γ₅	0.0869	1.96**
γ₆	-0.1400	-3.53***
γ₇	0.0993	2.39**
γ₈	0.0014	0.03
γ₉	-0.0916	-2.12**
γ₁₀	0.2672	3.77***

V-Lab

Korea Stock Exchange KOSPI 200 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI 200 Index Analyses