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	0.1711	8.01***
α ARCH Response to squared shocks	0.0406	15.09***
β GARCH Volatility persistence	0.9315	311.02***
γ leverage Additional response to negative shocks	0.1139	4.87***
δ power Transformation power	2.2652	22.73***

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