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	31.5589	8.01***
α ARCH Response to squared shocks	0.1145	133.90***
β GARCH Volatility persistence	0.9972	3,031.03***
ν DF Student-t tail thickness	3.7708	97.62***

V-Lab

Heungkuk Fire & Marine Insurance Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Heungkuk Fire & Marine Insurance Co Ltd Analyses