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	0.1381	3.11***
α ARCH Response to squared shocks	0.1664	3.43***
β GARCH Volatility persistence	0.5399	4.26***

γ₁	-7.2437	-4.16***
γ₂	9.6395	3.70***
γ₃	1.6396	0.96
γ₄	-10.1333	-5.28***
γ₅	9.4406	3.34***
γ₆	-6.5838	-2.87***
γ₇	6.3536	4.04***
γ₈	-5.1650	-2.77***
γ₉	4.6457	2.33**
γ₁₀	-4.2987	-3.16***

V-Lab

Dyc Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dyc Co Ltd Analyses