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	1.0687	5.78***
α ARCH Response to squared shocks	0.0997	10.04***
β GARCH Volatility persistence	0.8625	67.00***

γ₁	-0.0303	-0.78
γ₂	0.1396	2.50**
γ₃	-0.2544	-6.83***
γ₄	0.2177	5.86***
γ₅	-0.0938	-2.33**
γ₆	0.0152	0.41
γ₇	0.0461	1.34
γ₈	-0.0439	-1.24
γ₉	-0.0115	-0.40

V-Lab

Korea Stock Exchange KOSPI Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses