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
ω const Unconditional variance weight	0.2435	25.44***
α ARCH Response to squared shocks	0.1531	30.14***
β GARCH Volatility persistence	0.8040	221.07***
γ leverage Additional response to negative shocks	0.0084	1.01

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