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	0.6691	6.17***
α ARCH Response to squared shocks	0.2433	7.61***
β GARCH Volatility persistence	0.6486	36.20***
γ leverage Additional response to negative shocks	0.2045	2.94***

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Dyc Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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