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	96
α ARCH Response to squared shocks	0.1357	5.18***
β GARCH Volatility persistence	0.2502	3.80***
γ leverage Additional response to negative shocks	0.5000	4.00***
λ₁ tau intercept Baseline long-term coefficient	0.2771	1.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	1.45
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Dyc Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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