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	36
α ARCH Response to squared shocks	0.0456	20.70***
β GARCH Volatility persistence	0.8428	84.19***
γ leverage Additional response to negative shocks	0.0476	11.51***
λ₁ tau intercept Baseline long-term coefficient	0.0161	3.02***
λ₂ forecast adj. Forecast performance sensitivity	0.0361	4.09***
λ₃ tau persistence Long-term factor persistence	0.9614	100.71***

V-Lab

Samsung Electronics Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samsung Electronics Co Ltd Analyses