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	0.6433	7.55***
αARCH	0.1706	6.03***
βGARCH	0.6874	14.47***

γ₁	-0.0315	-1.44
γ₂	0.0181	0.54
γ₃	0.0539	1.83*
γ₄	-0.1005	-2.83***
γ₅	0.1355	2.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6433	7.55***
α ARCH Response to squared shocks	0.1706	6.03***
β GARCH Volatility persistence	0.6874	14.47***

γ₁	-0.0315	-1.44
γ₂	0.0181	0.54
γ₃	0.0539	1.83*
γ₄	-0.1005	-2.83***
γ₅	0.1355	2.95***

V-Lab

KOSPI 200 Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other KOSPI 200 Volatility Index Analyses