KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1674	25.20***
β GARCH Volatility persistence	0.5957	27.14***
γ leverage Additional response to negative shocks	-0.0166	-1.56
λ₁ tau intercept Baseline long-term coefficient	0.2683	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.1705	1.40
λ₃ tau persistence Long-term factor persistence	0.8193	6.04***

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