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	0.1986	15.46***
α ARCH Response to squared shocks	0.0538	15.32***
β GARCH Volatility persistence	0.9158	379.06***
γ leverage Additional response to negative shocks	0.0281	4.45***

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Dongsung Finetec Co Ltd GJR-GARCH Volatility Analysis

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