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	19.0261	3.13***
α ARCH Response to squared shocks	0.1031	35.52***
β GARCH Volatility persistence	0.9814	169.94***
ν DF Student-t tail thickness	3.0362	22.27***

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Bg T&A Co GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bg T&A Co Analyses