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	2.6979	0.47
α ARCH Response to squared shocks	0.3184	1.89*
β GARCH Volatility persistence	0.6603	25.62***

γ₁	-1.0273	-0.46
γ₂	2.2168	0.48
γ₃	-11.7226	-2.61***
γ₄	40.4065	10.06***
γ₅	-75.9172	-19.21***
γ₆	93.3624	31.70***
γ₇	-80.7039	-15.58***
γ₈	53.2053	6.39***
γ₉	-30.4517	-4.18***
γ₁₀	13.5363	3.97***

V-Lab

Ksp Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ksp Co Ltd Analyses