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	0.2789	27.24***
β GARCH Volatility persistence	0.6197	58.65***
γ leverage Additional response to negative shocks	-0.0773	-5.57***
λ₁ tau intercept Baseline long-term coefficient	0.0990	3.99***
λ₂ forecast adj. Forecast performance sensitivity	0.0562	5.37***
λ₃ tau persistence Long-term factor persistence	0.9387	82.46***

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Chinyang Poly Urethane Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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