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	0.0439	12.23***
α ARCH Response to squared shocks	0.0312	19.29***
β GARCH Volatility persistence	0.9541	801.08***
γ leverage Additional response to negative shocks	0.0245	7.51***

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SK Hynix Inc GJR-GARCH Volatility Analysis

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