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	5.0000	24.00***
α ARCH Response to squared shocks	0.5170	10.86***
β GARCH Volatility persistence	0.4522	27.58***
γ leverage Additional response to negative shocks	-0.3195	-5.52***

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Yuil Robotics Co Ltd GJR-GARCH Volatility Analysis

Date Range:

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