KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0143	14.08***
α ARCH Response to squared shocks	0.0506	20.96***
β GARCH Volatility persistence	0.9501	674.33***
γ leverage Additional response to negative shocks	-0.0015	-0.37

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Sam Yung Trading Co Ltd GJR-GARCH Volatility Analysis

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