KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0236	9.67***
β GARCH Volatility persistence	0.8016	55.62***
γ leverage Additional response to negative shocks	0.0819	18.34***
λ₁ tau intercept Baseline long-term coefficient	0.0236	1.53
λ₂ forecast adj. Forecast performance sensitivity	0.0339	3.26***
λ₃ tau persistence Long-term factor persistence	0.9644	87.74***

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