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
m window Rolling window length	121
α ARCH Response to squared shocks	0.0190	2.58***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.2860	3.13***
λ₁ tau intercept Baseline long-term coefficient	1.1552	0.04
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Synapsoft Corporation MF2-GARCH Volatility Analysis

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