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	1.0529	4.39***
α ARCH Response to squared shocks	0.1516	3.60***
β GARCH Volatility persistence	0.6757	9.72***

γ₁	0.5488	0.81
γ₂	-0.9939	-1.03
γ₃	1.3761	2.74***
γ₄	-2.3388	-3.61***
γ₅	3.2266	3.36***

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Xexymix Corp Spline-GARCH Volatility Analysis

Date Range:

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