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	1.1282	3.54***
α ARCH Response to squared shocks	0.1389	3.56***
β GARCH Volatility persistence	0.6635	7.71***

γ₁	2.2496	0.79
γ₂	-3.7156	-0.85
γ₃	3.5319	1.04
γ₄	-5.0112	-1.37
γ₅	6.3719	2.03**
γ₆	-4.4819	-2.12**
γ₇	-1.4703	-0.88
γ₈	5.2959	2.69***
γ₉	-3.6613	-2.12**

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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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