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	26
α ARCH Response to squared shocks	0.2492	34.11***
β GARCH Volatility persistence	0.6869	89.78***
γ leverage Additional response to negative shocks	-0.0745	-7.61***
λ₁ tau intercept Baseline long-term coefficient	0.0020	4.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0227	9.03***
λ₃ tau persistence Long-term factor persistence	0.9773	366.84***

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