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	1.0002	5.90***
α ARCH Response to squared shocks	0.0996	9.80***
β GARCH Volatility persistence	0.8553	61.35***

γ₁	-0.0448	-1.23
γ₂	0.1630	3.13***
γ₃	-0.2707	-7.91***
γ₄	0.2308	6.72***
γ₅	-0.1012	-2.71***
γ₆	0.0082	0.24
γ₇	0.0800	2.44**
γ₈	-0.1302	-3.52***
γ₉	0.2464	4.03***

V-Lab

Korea Stock Exchange KOSPI Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Korea Stock Exchange KOSPI Index Analyses