KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.4081	6.61***
α ARCH Response to squared shocks	0.2575	6.18***
β GARCH Volatility persistence	0.6608	17.58***

γ₁	0.1846	8.18***
γ₂	-0.2849	-7.95***
γ₃	0.1682	6.20***
γ₄	-0.0942	-3.59***
γ₅	0.0341	1.54

V-Lab

Han Kook Capital Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Han Kook Capital Co Ltd Analyses