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

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Figure

Figure 1. The behavior of KOSPI200 and S&P500 implied volatility indices  0.00.20.40.60.81.01.2 1998 1999 2000 2001 2002 2003 2004 2005 2006
Table 1. Distributional properties and stationarity tests
Figure 2. The relative spread between implied volatility and realized volatility  -100 -50 050100150 -100-50050100 1998 1999 2000 2001 2002 2003 2004 2005 2006
Figure 3. The relationship between realized volatility and implied volatility index  0.00.20.40.60.81.01.2 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 KOSPI200 implied volatility
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