KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.1917	32.63***
β GARCH Volatility persistence	0.7348	121.72***
γ leverage Additional response to negative shocks	-0.0414	-5.30***
λ₁ tau intercept Baseline long-term coefficient	0.3611	7.18***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	22.70***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Heungkuk Fire & Marine Insurance Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Heungkuk Fire & Marine Insurance Co Ltd Analyses