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	0.9647	13.56***
α ARCH Response to squared shocks	0.1671	14.58***
β GARCH Volatility persistence	0.7464	61.49***

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Xexymix Corp GARCH Volatility Analysis

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