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
m window Rolling window length	46
α ARCH Response to squared shocks	0.1114	10.88***
β GARCH Volatility persistence	0.5506	13.62***
γ leverage Additional response to negative shocks	0.0153	0.35
λ₁ tau intercept Baseline long-term coefficient	2.3604	0.27
λ₂ forecast adj. Forecast performance sensitivity	0.8022	0.13
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Ksp Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ksp Co Ltd Analyses