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	0.1384	14.19***
α ARCH Response to squared shocks	0.0369	10.23***
β GARCH Volatility persistence	0.9306	302.23***
γ leverage Additional response to negative shocks	0.0207	3.03***

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