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	0.2390	18.98***
α ARCH Response to squared shocks	0.0807	20.66***
β GARCH Volatility persistence	0.8825	236.53***
γ leverage Additional response to negative shocks	0.0115	1.38

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Daehan Steel Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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