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	81
α ARCH Response to squared shocks	0.2107	22.64***
β GARCH Volatility persistence	0.7884	62.19***
γ leverage Additional response to negative shocks	-0.2107	-24.10***
λ₁ tau intercept Baseline long-term coefficient	0.0978	2.09**
λ₂ forecast adj. Forecast performance sensitivity	0.0055	3.14***
λ₃ tau persistence Long-term factor persistence	0.9911	380.31***

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KOSPI 200 Volatility Index MF2-GARCH Volatility Analysis

Date Range:

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