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	0.1651	18.70***
β GARCH Volatility persistence	0.6903	39.61***
γ leverage Additional response to negative shocks	0.0083	0.79
λ₁ tau intercept Baseline long-term coefficient	0.0204	3.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0347	4.80***
λ₃ tau persistence Long-term factor persistence	0.9633	123.74***

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Yw Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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