. 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 …

(low) and bull (high) regimes. Bear regime (1) leads across the 6 election horizons with lower volatility while the bull … regime (2) records higher volatility in addition to more positive returns. Specifically, presidential election impacts …