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
ω const Unconditional variance weight	1.9306	5.24***
α ARCH Response to squared shocks	0.3640	3.00***
β GARCH Volatility persistence	0.0610	0.94

γ₁	0.4872	5.29***
γ₂	-0.5976	-5.40***

V-Lab

Yuil Robotics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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