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	26.8218	5.88***
α ARCH Response to squared shocks	0.1058	142.63***
β GARCH Volatility persistence	0.9966	1,776.38***
ν DF Student-t tail thickness	2.9495	165.09***

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Korea Cast Iron Pipe Industries Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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