KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.2443	5.73***
α ARCH Response to squared shocks	0.0747	52.88***
β GARCH Volatility persistence	0.9957	1,416.31***
ν DF Student-t tail thickness	7.1538	9.75***

V-Lab

Korea Stock Exchange KOSPI Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses