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	0.1825	16.16***
α ARCH Response to squared shocks	0.2281	19.11***
β GARCH Volatility persistence	0.7931	96.49***
γ leverage Additional response to negative shocks	-0.0630	-3.50***

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Taeyang Corp GJR-GARCH Volatility Analysis

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