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	53.2651	3.81***
α ARCH Response to squared shocks	0.1269	86.71***
β GARCH Volatility persistence	0.9922	498.82***
ν DF Student-t tail thickness	3.1439	59.97***

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VT Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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