KOSPI 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.3051	6.89***
α ARCH Response to squared shocks	0.0407	25.02***
β GARCH Volatility persistence	0.9845	347.02***
ν DF Student-t tail thickness	6.0623	3.62***

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