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 …

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two … 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 …

. 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 …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …