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	0.0304	11.15***
β GARCH Volatility persistence	0.8051	145.03***
γ leverage Additional response to negative shocks	0.1489	28.86***
λ₁ tau intercept Baseline long-term coefficient	0.0026	3.91***
λ₂ forecast adj. Forecast performance sensitivity	0.0307	9.19***
λ₃ tau persistence Long-term factor persistence	0.9687	274.98***

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Korea Stock Exchange KOSPI Index MF2-GARCH Volatility Analysis

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