KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5217	5.26***
α ARCH Response to squared shocks	0.2397	17.62***
β GARCH Volatility persistence	0.4912	11.08***
γ leverage Additional response to negative shocks	-0.0649	-2.64***
δ power Transformation power	0.5000	2.85***

V-Lab

APR Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other APR Co Ltd Analyses