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	6.3435	6.74***
α ARCH Response to squared shocks	0.0406	25.05***
β GARCH Volatility persistence	0.9850	354.43***
ν DF Student-t tail thickness	6.0443	3.65***

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