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	3.3326	5.65***
α ARCH Response to squared shocks	0.0610	54.93***
β GARCH Volatility persistence	0.9962	1,668.73***
ν DF Student-t tail thickness	6.2903	11.51***

V-Lab

Korea Stock Exchange KOSPI 200 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI 200 Index Analyses