KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0562	13.48***
β GARCH Volatility persistence	0.8304	52.38***
γ leverage Additional response to negative shocks	0.0445	6.69***
λ₁ tau intercept Baseline long-term coefficient	0.0501	2.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0198	2.90***
λ₃ tau persistence Long-term factor persistence	0.9755	120.22***

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