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	21
α ARCH Response to squared shocks	0.1646	18.75***
β GARCH Volatility persistence	0.6929	40.35***
γ leverage Additional response to negative shocks	0.0080	0.76
λ₁ tau intercept Baseline long-term coefficient	0.0199	3.10***
λ₂ forecast adj. Forecast performance sensitivity	0.0340	4.88***
λ₃ tau persistence Long-term factor persistence	0.9641	128.52***

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Yw Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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