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	1.1539	8.70***
α ARCH Response to squared shocks	0.0481	5.28***
β GARCH Volatility persistence	0.9278	72.70***

γ₁	0.0067	2.01**
γ₂	-0.0085	-1.96*

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