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	0.0440	12.29***
α ARCH Response to squared shocks	0.0310	19.22***
β GARCH Volatility persistence	0.9544	806.72***
γ leverage Additional response to negative shocks	0.0243	7.50***

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SK Hynix Inc GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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