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	66.9384	8.00***
α ARCH Response to squared shocks	0.1003	107.16***
β GARCH Volatility persistence	0.9990	8,256.20***
ν DF Student-t tail thickness	3.3646	121.66***

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Yw Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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