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	0.7016	7.14***
α ARCH Response to squared shocks	0.1718	6.33***
β GARCH Volatility persistence	0.6900	15.56***

γ₁	0.0122	0.23
γ₂	-0.0592	-0.67
γ₃	0.0453	0.61
γ₄	0.0838	1.20
γ₅	-0.1889	-2.83***
γ₆	0.1614	2.97***
γ₇	-0.0646	-1.65*

V-Lab

KOSPI 200 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other KOSPI 200 Volatility Index Analyses