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	8.6841	2.56**
α ARCH Response to squared shocks	0.1055	42.66***
β GARCH Volatility persistence	0.9833	153.61***
ν DF Student-t tail thickness	2.6811	34.18***

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Taeyang Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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