Kim, Jun Sik; Ryu, Doojin - In: Emerging Markets Review 22 (2015) C, pp. 43-64
volatilities extracted from the KOSPI 200 options and proposes a modified value-at-risk (VaR) framework utilizing the implied … volatilities. Our empirical results indicate that the model-free implied volatility index of the KOSPI 200 (VKOSPI) does not …