, which determine the dynamics of the VKOSPI. -- asymmetric volatility ; vector autoregression ; VIX ; VKOSPI …) identification framework. By analyzing two model-free impliedvolatility indices – the well-established VIX (in the United States) and … the recently published VKOSPI (in Korea) – and their stock market indices, the authors find an asymmetric volatility …

model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we … volatility index for the developed market. -- Asymmetric volatility ; vector autoregression ; VIX ; VKOSPI … found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published …

(VKOSPI) derived from the KOSPI 200 options and (b) the macroeconomic and financial variables that can predict the implied … suggest that the elaborate HAR framework is proficient at describing the dynamics of the VKOSPI and that some domestic … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we … found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published … implied volatility index, shows impulse response dynamics that are clearly distinct from those for the VIX, an implied …

) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and … the recently published VKOSPI (in Korea) - and their stock market indices, the authors find an asymmetric volatility … phenomenon in both the developed and emerging markets. However, the VKOSPI shows impulse response dynamics that are quite …

model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we … found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published … implied volatility index, shows impulse response dynamics that are clearly distinct from those for the VIX, an implied …

&P 500 spot return and the VIX from S&P 500 options) play a key role in predicting the level of VKOSPI and explaining its …) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … VKOSPI is well described by the elaborate HAR framework and that some Korea's macroeconomic variables significantly explain …