KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2046	28.14***
β GARCH Volatility persistence	0.5562	29.08***
γ leverage Additional response to negative shocks	0.0083	0.55
λ₁ tau intercept Baseline long-term coefficient	4.7403	1.21
λ₂ forecast adj. Forecast performance sensitivity	0.6100	0.96
λ₃ tau persistence Long-term factor persistence	0.0491	0.05

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Dae Won Chemical Co Ltd MF2-GARCH Volatility Analysis

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