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	0.8367	6.06***
α ARCH Response to squared shocks	0.0526	8.48***
β GARCH Volatility persistence	0.9290	105.18***

γ₁	0.0542	2.78***
γ₂	-0.1213	-4.19***
γ₃	0.1061	6.09***
γ₄	-0.0542	-3.57***
γ₅	0.0271	1.73*
γ₆	-0.0161	-1.30

V-Lab

Samsung Electronics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samsung Electronics Co Ltd Analyses