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	0.2798	27.16***
β GARCH Volatility persistence	0.6185	57.87***
γ leverage Additional response to negative shocks	-0.0782	-5.60***
λ₁ tau intercept Baseline long-term coefficient	0.1043	3.99***
λ₂ forecast adj. Forecast performance sensitivity	0.0595	5.19***
λ₃ tau persistence Long-term factor persistence	0.9353	75.42***

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Chinyang Poly Urethane Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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