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	0.0600	14.23***
α ARCH Response to squared shocks	0.1034	24.88***
β GARCH Volatility persistence	0.9064	351.30***
γ leverage Additional response to negative shocks	-0.0196	-2.90***

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Yw Co Ltd GJR-GARCH Volatility Analysis

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