KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6120	5.71***
α ARCH Response to squared shocks	0.0977	5.59***
β GARCH Volatility persistence	0.8534	32.34***

γ₁	1.1417	3.81***
γ₂	-2.3269	-4.61***
γ₃	1.5346	3.51***
γ₄	-0.4243	-1.06
γ₅	0.5415	1.39
γ₆	-0.7548	-2.38**

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Ubiquoss Holdings Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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