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	60.5506	7.35***
α ARCH Response to squared shocks	0.1230	141.20***
β GARCH Volatility persistence	0.9979	3,695.87***
ν DF Student-t tail thickness	3.5201	124.89***

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Chinyang Poly Urethane Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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