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	31
α ARCH Response to squared shocks	0.1200	31.28***
β GARCH Volatility persistence	0.7720	83.99***
γ leverage Additional response to negative shocks	0.0266	4.78***
λ₁ tau intercept Baseline long-term coefficient	0.0273	4.63***
λ₂ forecast adj. Forecast performance sensitivity	0.0384	6.53***
λ₃ tau persistence Long-term factor persistence	0.9588	151.62***

V-Lab

DB Securities Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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