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	1.0599	4.92***
α ARCH Response to squared shocks	0.1958	3.31***
β GARCH Volatility persistence	0.2363	1.67*

γ₁	-0.8348	-0.94
γ₂	2.2918	1.51
γ₃	-3.1367	-2.39**
γ₄	2.6155	2.24**
γ₅	-1.2928	-1.10
γ₆	1.5239	1.58
γ₇	-2.5523	-2.73***
γ₈	1.7326	1.60
γ₉	-0.2497	-0.30

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Cafe24 Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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