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	0.7513	8.03***
α ARCH Response to squared shocks	0.1291	9.36***
β GARCH Volatility persistence	0.8065	38.74***

γ₁	0.0031	0.35
γ₂	-0.0288	-2.04**
γ₃	0.0401	3.50***
γ₄	-0.0115	-0.82
γ₅	-0.0055	-0.42

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Kwang Dong Pharmaceutical Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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