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
ω const Unconditional variance weight	0.2847	17.86***
α ARCH Response to squared shocks	0.1847	27.18***
β GARCH Volatility persistence	0.8339	206.15***
γ leverage Additional response to negative shocks	-0.0491	-4.49***

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Chinyang Poly Urethane Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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