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	3.53***
α ARCH Response to squared shocks	0.1385	3.59***
β GARCH Volatility persistence	0.6652	7.68***

γ₁	2.3215	0.80
γ₂	-3.8377	-0.86
γ₃	3.6369	1.05
γ₄	-5.0900	-1.37
γ₅	6.2812	2.02**
γ₆	-4.0762	-1.97**
γ₇	-2.0155	-1.17
γ₈	5.5988	2.59***
γ₉	-3.6848	-1.94*

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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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