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	0.6952	7.12***
αARCH	0.1736	6.40***
βGARCH	0.6862	15.34***

γ₁	0.0092	0.18
γ₂	-0.0566	-0.65
γ₃	0.0494	0.67
γ₄	0.0745	1.06
γ₅	-0.1815	-2.65***
γ₆	0.1608	2.93***
γ₇	-0.0668	-1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6952	7.12***
α ARCH Response to squared shocks	0.1736	6.40***
β GARCH Volatility persistence	0.6862	15.34***

γ₁	0.0092	0.18
γ₂	-0.0566	-0.65
γ₃	0.0494	0.67
γ₄	0.0745	1.06
γ₅	-0.1815	-2.65***
γ₆	0.1608	2.93***
γ₇	-0.0668	-1.82*

V-Lab

KOSPI 200 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other KOSPI 200 Volatility Index Analyses