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	0.0151	16.67***
α ARCH Response to squared shocks	0.1852	51.20***
β GARCH Volatility persistence	0.9892	1,769.54***
γ leverage Additional response to negative shocks	-0.0466	-14.24***

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Korea Stock Exchange KOSPI Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses