KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.2326	11.09***
α ARCH Response to squared shocks	0.6146	5.18***
β GARCH Volatility persistence	0.4302	17.94***
γ leverage Additional response to negative shocks	-0.4169	-2.91***

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Synapsoft Corporation GJR-GARCH Volatility Analysis

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