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	1.8166	2.49**
α ARCH Response to squared shocks	0.0668	0.59
β GARCH Volatility persistence	0.0000	0.00

γ₁	-82.6857	-0.61
γ₂	323.1493	1.54
γ₃	-448.0833	-3.67***
γ₄	280.7403	4.34***

V-Lab

Esteem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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