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	1.9445	5.28***
α ARCH Response to squared shocks	0.3614	2.96***
β GARCH Volatility persistence	0.0432	0.74

γ₁	0.5081	5.38***
γ₂	-0.6231	-5.47***

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Yuil Robotics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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