. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR … the recently published VKOSPI (in Korea) – and their stock market indices, the authors find an asymmetric volatility …, which determine the dynamics of the VKOSPI. -- asymmetric volatility ; vector autoregression ; VIX ; VKOSPI …