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	1.8782	5.07***
α ARCH Response to squared shocks	0.3616	2.91***
β GARCH Volatility persistence	0.0552	0.85

γ₁	0.4490	3.70***
γ₂	-0.4847	-2.06**

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Yuil Robotics Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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