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	2.5743	15.35***
α ARCH Response to squared shocks	0.2053	15.36***
β GARCH Volatility persistence	0.8028	101.95***
γ leverage Additional response to negative shocks	-0.2053	-13.34***

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KOSPI 200 Volatility Index GJR-GARCH Volatility Analysis

Date Range:

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