) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

In this analysis we are concerned with the issue of whether market forecasts of volatility, as expressed in the Black … comprising 5-minute returns, makes volatility the subject process of interest, to which innovations are introduced via a … volatility-of-volatility (kurtosis) process. Despite performing robustly in- and out-of-sample, an encompassing regression …