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
ω const Unconditional variance weight	2.0252	5.06***
α ARCH Response to squared shocks	0.1879	4.51***
β GARCH Volatility persistence	0.7527	15.95***

γ₁	0.0386	2.56**
γ₂	-0.0594	-2.76***
γ₃	0.0336	3.24***

V-Lab

Taeyang Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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