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	0.0279	11.37***
β GARCH Volatility persistence	0.8349	149.98***
γ leverage Additional response to negative shocks	0.1194	24.80***
λ₁ tau intercept Baseline long-term coefficient	0.0025	4.08***
λ₂ forecast adj. Forecast performance sensitivity	0.0244	7.99***
λ₃ tau persistence Long-term factor persistence	0.9748	301.61***

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Korea Stock Exchange KOSPI 200 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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