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	0.2448	7.42***
α ARCH Response to squared shocks	0.3050	29.18***
β GARCH Volatility persistence	0.6448	47.64***
γ leverage Additional response to negative shocks	0.0980	6.43***
δ power Transformation power	0.9651	9.26***

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Xexymix Corp Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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