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	29.8193	11.37***
α ARCH Response to squared shocks	0.1375	20.94***
β GARCH Volatility persistence	0.9135	110.59***
ν DF Student-t tail thickness	4.7693	7.33***

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KOSPI 200 Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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