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	0.0403	30.19***
α ARCH Response to squared shocks	0.2302	51.31***
β GARCH Volatility persistence	0.7176	234.13***
γ leverage Additional response to negative shocks	0.0865	11.94***

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Korea Stock Exchange KOSPI Index Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses