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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0227	9.43***
β GARCH Volatility persistence	0.8042	57.04***
γ leverage Additional response to negative shocks	0.0833	18.65***
λ₁ tau intercept Baseline long-term coefficient	0.0231	1.50
λ₂ forecast adj. Forecast performance sensitivity	0.0347	3.31***
λ₃ tau persistence Long-term factor persistence	0.9638	87.33***

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SK Hynix Inc MF2-GARCH Volatility Analysis

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