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	0.6465	7.56***
α ARCH Response to squared shocks	0.1692	5.98***
β GARCH Volatility persistence	0.6903	14.74***

γ₁	-0.0289	-1.31
γ₂	0.0122	0.36
γ₃	0.0618	2.08**
γ₄	-0.1104	-3.09***
γ₅	0.1522	3.34***

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KOSPI 200 Volatility Index Spline-GARCH Volatility Analysis

Date Range:

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