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	0.7499	6.91***
α ARCH Response to squared shocks	0.2121	8.43***
β GARCH Volatility persistence	0.6690	18.51***

γ₁	-0.0319	-0.68
γ₂	0.0978	1.42
γ₃	-0.2186	-4.23***
γ₄	0.2299	3.71***
γ₅	0.0051	0.08
γ₆	-0.2714	-4.52***
γ₇	0.3803	7.09***
γ₈	-0.2560	-4.29***
γ₉	0.0551	0.79
γ₁₀	0.0104	0.20

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Chinyang Poly Urethane Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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