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
ω const Unconditional variance weight	0.9324	4.97***
α ARCH Response to squared shocks	0.1777	8.87***
β GARCH Volatility persistence	0.7552	34.42***

γ₁	0.0159	0.35
γ₂	0.0294	0.46
γ₃	-0.1301	-2.71***
γ₄	0.1153	2.20**
γ₅	-0.0765	-1.40
γ₆	0.0804	1.45
γ₇	-0.0497	-0.82
γ₈	0.1173	1.49
γ₉	-0.2277	-2.03**
γ₁₀	0.3156	2.11**

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Heungkuk Fire & Marine Insurance Co Ltd Analyses