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	0.0732	18.63***
α ARCH Response to squared shocks	0.0879	28.56***
β GARCH Volatility persistence	0.9029	476.47***
γ leverage Additional response to negative shocks	0.0119	1.97**

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DB Securities Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other DB Securities Co Ltd Analyses