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	1.0178	6.00***
α ARCH Response to squared shocks	0.1104	10.11***
β GARCH Volatility persistence	0.8558	66.68***

γ₁	0.0453	1.21
γ₂	-0.0048	-0.08
γ₃	-0.1748	-4.12***
γ₄	0.2573	6.27***
γ₅	-0.2131	-5.04***
γ₆	0.1554	3.21***
γ₇	-0.1003	-2.07**
γ₈	0.0546	1.04
γ₉	-0.0227	-0.49

V-Lab

DB Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other DB Securities Co Ltd Analyses