KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6853	5.44***
α ARCH Response to squared shocks	0.1036	5.60***
β GARCH Volatility persistence	0.8513	75.78***
γ leverage Additional response to negative shocks	0.0046	0.14

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Smcg Co Ltd GJR-GARCH Volatility Analysis

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