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	0.1888	11.52***
α ARCH Response to squared shocks	0.1495	17.73***
β GARCH Volatility persistence	0.8312	142.09***
γ leverage Additional response to negative shocks	0.0172	1.11

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PSK Inc Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSK Inc Analyses