KOSPI 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3090	3.05***
α ARCH Response to squared shocks	0.0561	1.96*
β GARCH Volatility persistence	0.9090	30.94***
γ leverage Additional response to negative shocks	-0.0021	-0.07

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Esteem Co Ltd EGARCH Volatility Analysis

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