KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1046	24.46***
β GARCH Volatility persistence	0.7192	55.48***
γ leverage Additional response to negative shocks	0.0378	5.22***
λ₁ tau intercept Baseline long-term coefficient	0.0047	2.21**
λ₂ forecast adj. Forecast performance sensitivity	0.0230	5.17***
λ₃ tau persistence Long-term factor persistence	0.9767	207.99***

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