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	0.0444	13.23***
α ARCH Response to squared shocks	0.1182	20.72***
β GARCH Volatility persistence	0.9784	581.31***
γ leverage Additional response to negative shocks	-0.0144	-2.57**

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