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	1.0885	4.47***
α ARCH Response to squared shocks	0.0640	4.49***
β GARCH Volatility persistence	0.9289	55.42***

γ₁	-0.0076	-1.74*
γ₂	0.0111	2.05**

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VT Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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