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	1.0041	7.55***
α ARCH Response to squared shocks	0.0934	8.83***
β GARCH Volatility persistence	0.8595	48.75***

γ₁	-0.0032	-0.07
γ₂	0.0398	0.55
γ₃	-0.1572	-2.64***
γ₄	0.2434	3.96***
γ₅	-0.2254	-3.93***
γ₆	0.2095	3.91***
γ₇	-0.1917	-3.46***
γ₈	0.0930	1.71*
γ₉	0.0126	0.22
γ₁₀	-0.0136	-0.28

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Sam Yung Trading Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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