KOSPI 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	53.4127	3.79***
α ARCH Response to squared shocks	0.1277	86.50***
β GARCH Volatility persistence	0.9921	492.11***
ν DF Student-t tail thickness	3.1408	59.84***

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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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