KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0854	28.85***
α ARCH Response to squared shocks	0.2832	44.32***
β GARCH Volatility persistence	0.9697	820.35***
γ leverage Additional response to negative shocks	0.0158	2.64***

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Heungkuk Fire & Marine Insurance Co Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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