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	66
α ARCH Response to squared shocks	0.1974	31.65***
β GARCH Volatility persistence	0.7080	91.88***
γ leverage Additional response to negative shocks	-0.0372	-4.21***
λ₁ tau intercept Baseline long-term coefficient	0.1379	4.25***
λ₂ forecast adj. Forecast performance sensitivity	0.2956	7.30***
λ₃ tau persistence Long-term factor persistence	0.7020	16.01***

V-Lab

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