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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1718	25.79***
β GARCH Volatility persistence	0.6468	37.48***
γ leverage Additional response to negative shocks	-0.0154	-1.64
λ₁ tau intercept Baseline long-term coefficient	0.0410	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.0416	3.41***
λ₃ tau persistence Long-term factor persistence	0.9529	68.77***

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Korea Cast Iron Pipe Industries Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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