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	29.7126	11.53***
α ARCH Response to squared shocks	0.1370	20.87***
β GARCH Volatility persistence	0.9120	109.88***
ν DF Student-t tail thickness	4.7635	7.31***

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KOSPI 200 Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other KOSPI 200 Volatility Index Analyses