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	0.0298	10.94***
β GARCH Volatility persistence	0.8055	147.34***
γ leverage Additional response to negative shocks	0.1504	29.23***
λ₁ tau intercept Baseline long-term coefficient	0.0026	3.88***
λ₂ forecast adj. Forecast performance sensitivity	0.0315	9.42***
λ₃ tau persistence Long-term factor persistence	0.9681	274.71***

V-Lab

Korea Stock Exchange KOSPI Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses