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	8.8344	2.54**
α ARCH Response to squared shocks	0.1059	42.82***
β GARCH Volatility persistence	0.9833	153.14***
ν DF Student-t tail thickness	2.6729	34.66***

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Taeyang Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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