KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2005	15.59***
α ARCH Response to squared shocks	0.0536	15.30***
β GARCH Volatility persistence	0.9156	378.49***
γ leverage Additional response to negative shocks	0.0282	4.48***

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Dongsung Finetec Co Ltd GJR-GARCH Volatility Analysis

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