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	61
α ARCH Response to squared shocks	0.1856	17.68***
β GARCH Volatility persistence	0.7270	48.95***
γ leverage Additional response to negative shocks	-0.0280	-1.90*
λ₁ tau intercept Baseline long-term coefficient	1.5654	3.08***
λ₂ forecast adj. Forecast performance sensitivity	0.6512	5.39***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Taeyang Corp MF2-GARCH Volatility Analysis

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