KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.6005	0.22
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8399	3.11***

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