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	0.0108	7.87***
α ARCH Response to squared shocks	0.0987	48.01***
β GARCH Volatility persistence	0.8957	489.43***
γ leverage Additional response to negative shocks	0.3739	20.65***

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Korea Stock Exchange KOSPI Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses