KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6943	7.62***
α ARCH Response to squared shocks	0.1211	6.61***
β GARCH Volatility persistence	0.8426	35.60***

γ₁	-0.0042	-1.26
γ₂	0.0100	2.32**

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Yw Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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