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	1.0806	5.86***
α ARCH Response to squared shocks	0.0994	9.97***
β GARCH Volatility persistence	0.8620	66.11***

γ₁	-0.0288	-0.75
γ₂	0.1376	2.48**
γ₃	-0.2530	-6.84***
γ₄	0.2150	5.83***
γ₅	-0.0900	-2.26**
γ₆	0.0119	0.33
γ₇	0.0479	1.41
γ₈	-0.0451	-1.29
γ₉	-0.0105	-0.36

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