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	0.5629	13.15***
α ARCH Response to squared shocks	0.2315	17.22***
β GARCH Volatility persistence	0.6808	57.96***
γ leverage Additional response to negative shocks	0.0830	3.51***

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Xexymix Corp Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Xexymix Corp Analyses