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	0.9659	5.88***
α ARCH Response to squared shocks	0.0980	8.01***
β GARCH Volatility persistence	0.8775	58.94***

γ₁	0.0695	2.42**
γ₂	-0.1455	-3.24***
γ₃	0.1131	3.65***
γ₄	-0.0470	-1.26
γ₅	0.0219	0.47
γ₆	-0.0329	-0.70
γ₇	0.0359	1.10

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Korea Cast Iron Pipe Industries Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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