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Investor attention and global stock market volatility : evidence from COVID-19

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Modeling and predicting the market volatility index : the case of VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using …

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