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	0.0989	22.30***
α ARCH Response to squared shocks	0.1364	23.69***
β GARCH Volatility persistence	0.8699	291.90***
γ leverage Additional response to negative shocks	-0.0125	-1.47

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Heungkuk Fire & Marine Insurance Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Heungkuk Fire & Marine Insurance Co Ltd Analyses