KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2500	34.25***
β GARCH Volatility persistence	0.6836	89.40***
γ leverage Additional response to negative shocks	-0.0712	-7.19***
λ₁ tau intercept Baseline long-term coefficient	0.0022	4.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0232	9.03***
λ₃ tau persistence Long-term factor persistence	0.9768	358.85***

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Dongbang Agro Co MF2-GARCH Volatility Analysis

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