KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6965	7.63***
α ARCH Response to squared shocks	0.1203	6.62***
β GARCH Volatility persistence	0.8435	35.96***

γ₁	-0.0041	-1.23
γ₂	0.0098	2.30**

V-Lab

Yw Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Yw Co Ltd Analyses