KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.4991	21.50***
β GARCH Volatility persistence	0.1182	7.30***
γ leverage Additional response to negative shocks	-0.3616	-10.74***
λ₁ tau intercept Baseline long-term coefficient	3.1447	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.3576	0.75
λ₃ tau persistence Long-term factor persistence	0.4839	0.71

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Yuil Robotics Co Ltd MF2-GARCH Volatility Analysis

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