KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9598	5.94***
α ARCH Response to squared shocks	0.1345	40.37***
β GARCH Volatility persistence	0.9860	435.13***
ν DF Student-t tail thickness	6.2024	10.59***

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Korea Securities Dealers Association KOSDAQ Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Securities Dealers Association KOSDAQ Index Analyses