The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations

Korean Journal of Financial Studies 2007;36(2):163-187.
Published online April 30, 2007.

The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations

Nabil Maghrebi, Moo Sung Kim, Kazuhiko Nishina

Key Words: Asymmetric effects,KOSPI200 Implied volatility index,Markov regime-switching model,Nonlinear dynamics,Stock market volatility

TOOLS

METRICS

Related articles in Korean J Financ Stud

Editorial Office: 6F, Korea Financial Investment Association Building
143, Uisadangdaero, Yeongdeungpo-gu, Seoul 07332, Korea
Tel: +82-2-783-2615 Fax: +82-2-783-6539 E-mail: office@e-kjfs.org