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	0.3053	12.11***
α ARCH Response to squared shocks	0.2565	38.52***
β GARCH Volatility persistence	0.7065	89.41***
γ leverage Additional response to negative shocks	0.0201	1.73*
δ power Transformation power	1.1231	17.11***

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Ksp Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ksp Co Ltd Analyses