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	16.9373	5.76***
α ARCH Response to squared shocks	0.1271	66.55***
β GARCH Volatility persistence	0.9832	339.85***
ν DF Student-t tail thickness	3.3454	41.14***

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DSR Wire Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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