KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1057	12.08***
α ARCH Response to squared shocks	0.0687	18.16***
β GARCH Volatility persistence	0.9320	284.24***
γ leverage Additional response to negative shocks	-0.0082	-1.17

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VT Co Ltd GJR-GARCH Volatility Analysis

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