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	0.1252	4.96***
α ARCH Response to squared shocks	0.0467	10.52***
β GARCH Volatility persistence	0.9359	144.47***
γ leverage Additional response to negative shocks	0.0208	2.22**

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Ksp Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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