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	18.4724	8.58***
α ARCH Response to squared shocks	0.0419	49.63***
β GARCH Volatility persistence	0.9981	4,730.21***
ν DF Student-t tail thickness	7.5146	9.06***

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SK Hynix Inc GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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