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	5.0000	4.25***
α ARCH Response to squared shocks	0.0355	1.57
β GARCH Volatility persistence	0.7473	41.96***
γ leverage Additional response to negative shocks	0.1979	4.54***

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Esteem Co Ltd Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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