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
m window Rolling window length	46
α ARCH Response to squared shocks	0.1881	17.83***
β GARCH Volatility persistence	0.5518	25.10***
γ leverage Additional response to negative shocks	-0.0232	-1.26
λ₁ tau intercept Baseline long-term coefficient	2.3670	0.54
λ₂ forecast adj. Forecast performance sensitivity	0.7934	0.51
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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DSR Wire Corp MF2-GARCH Volatility Analysis

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