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
m window Rolling window length	81
α ARCH Response to squared shocks	0.1627	27.23***
β GARCH Volatility persistence	0.6409	51.13***
γ leverage Additional response to negative shocks	-0.0192	-1.94*
λ₁ tau intercept Baseline long-term coefficient	0.7435	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.3475	1.46
λ₃ tau persistence Long-term factor persistence	0.5683	1.94*

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Kwang Dong Pharmaceutical Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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