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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0563	9.72***
β GARCH Volatility persistence	0.6080	74.08***
γ leverage Additional response to negative shocks	0.3327	32.06***
λ₁ tau intercept Baseline long-term coefficient	0.0182	5.49***
λ₂ forecast adj. Forecast performance sensitivity	0.0567	8.32***
λ₃ tau persistence Long-term factor persistence	0.9383	122.86***

V-Lab

Korea Securities Dealers Association KOSDAQ Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Securities Dealers Association KOSDAQ Index Analyses