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
m window Rolling window length	31
α ARCH Response to squared shocks	0.2129	17.96***
β GARCH Volatility persistence	0.6273	41.60***
γ leverage Additional response to negative shocks	0.0575	3.33***
λ₁ tau intercept Baseline long-term coefficient	0.0803	3.47***
λ₂ forecast adj. Forecast performance sensitivity	0.0230	4.22***
λ₃ tau persistence Long-term factor persistence	0.9718	142.27***

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Bg T&A Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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