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	0.0428	6.08***
α ARCH Response to squared shocks	0.0732	14.35***
β GARCH Volatility persistence	0.9063	270.94***
γ leverage Additional response to negative shocks	0.0395	3.51***

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Ubiquoss Holdings Inc GJR-GARCH Volatility Analysis

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News Impact Curve

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