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	0.8317	5.57***
α ARCH Response to squared shocks	0.1874	5.90***
β GARCH Volatility persistence	0.7192	17.79***

γ₁	-0.2695	-1.67*
γ₂	0.1614	0.64
γ₃	0.4072	1.88*
γ₄	-0.4449	-1.89*
γ₅	-0.0425	-0.21
γ₆	0.5320	3.11***
γ₇	-0.7080	-3.17***
γ₈	0.6507	2.47**
γ₉	-0.3753	-1.89*

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Bg T&A Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bg T&A Co Analyses