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	1.1318	3.49***
α ARCH Response to squared shocks	0.1377	3.61***
β GARCH Volatility persistence	0.6690	7.81***

γ₁	2.3753	0.80
γ₂	-3.9353	-0.86
γ₃	3.7270	1.05
γ₄	-5.1467	-1.37
γ₅	6.1532	1.99**
γ₆	-3.6240	-1.78*
γ₇	-2.5854	-1.42
γ₈	5.8893	2.48**
γ₉	-3.6911	-1.79*

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Xexymix Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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