{"id":"https://openalex.org/W1998610838","doi":"https://doi.org/10.2753/ree1540-496x48s202","title":"Implied Volatility Index of KOSPI200: Information Contents and Properties","display_name":"Implied Volatility Index of KOSPI200: Information Contents and Properties","publication_year":2012,"publication_date":"2012-07-01","ids":{"openalex":"https://openalex.org/W1998610838","doi":"https://doi.org/10.2753/ree1540-496x48s202","mag":"1998610838"},"language":"en","primary_location":{"id":"doi:10.2753/ree1540-496x48s202","doi":"https://doi.org/10.2753/ree1540-496x48s202","is_oa":false,"landing_page_url":"https://doi.org/10.2753/ree1540-496x48s202","pdf_url":null,"source":{"id":"https://openalex.org/S166264140","display_name":"Emerging Markets Finance and Trade","issn_l":"1061-2009","issn":["1061-2009","1540-496X","1558-0938"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Finance and Trade","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5008162674","display_name":"Doojin Ryu","orcid":"https://orcid.org/0000-0002-0059-4887","observed_orcids":["https://orcid.org/0000-0002-0059-4887"]},"institutions":[{"id":"https://openalex.org/I67900169","display_name":"Chung-Ang University","ror":"https://ror.org/01r024a98","country_code":"KR","type":"education","lineage":["https://openalex.org/I67900169"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"Doojin Ryu","raw_affiliation_strings":["a Chung-Ang University, Seoul, Korea","Chung-Ang University, Seoul, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"a Chung-Ang University, Seoul, Korea","institution_ids":["https://openalex.org/I67900169"]},{"raw_affiliation_string":"Chung-Ang University, Seoul, Korea","institution_ids":["https://openalex.org/I67900169"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5008162674"],"corresponding_institution_ids":["https://openalex.org/I67900169"],"apc_list":null,"apc_paid":null,"fwci":13.2938,"has_fulltext":false,"cited_by_count":53,"citation_normalized_percentile":{"value":0.98509329,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"48","issue":"sup2","first_page":"24","last_page":"39"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/implied-volatility-index","display_name":"implied volatility index","score":0.9610000252723694},{"id":"https://openalex.org/keywords/kospi-200","display_name":"KOSPI 200","score":0.8920000195503235},{"id":"https://openalex.org/keywords/index-options","display_name":"index options","score":0.7929999828338623},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.781000018119812},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.7350000143051147},{"id":"https://openalex.org/keywords/gjr-garch","display_name":"GJR-GARCH","score":0.7730000019073486},{"id":"https://openalex.org/keywords/black-scholes-implied-volatility","display_name":"Black-Scholes implied volatility","score":0.8500000238418579},{"id":"https://openalex.org/keywords/riskmetrics","display_name":"RiskMetrics","score":0.9390000104904175},{"id":"https://openalex.org/keywords/realized-volatility","display_name":"realized volatility","score":0.7049999833106995},{"id":"https://openalex.org/keywords/korean-stock-market","display_name":"Korean stock market","score":0.5130000114440918}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8105400204658508},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.7435888051986694},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.719628095626831},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6999372839927673},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.684226930141449},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.6702515482902527},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6600722074508667},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.5955929160118103},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5531802177429199},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.5505552291870117},{"id":"https://openalex.org/C2777402642","wikidata":"https://www.wikidata.org/wiki/Q2557224","display_name":"Explanatory power","level":2,"score":0.4730086624622345},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.43311747908592224},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.37012070417404175},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12155482172966003},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.2753/ree1540-496x48s202","doi":"https://doi.org/10.2753/ree1540-496x48s202","is_oa":false,"landing_page_url":"https://doi.org/10.2753/ree1540-496x48s202","pdf_url":null,"source":{"id":"https://openalex.org/S166264140","display_name":"Emerging Markets Finance and Trade","issn_l":"1061-2009","issn":["1061-2009","1540-496X","1558-0938"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Finance and Trade","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:mes:emfitr:v:48:y:2012:i:0:p:24-39","doi":null,"is_oa":false,"landing_page_url":"http://mesharpe.metapress.com/link.asp?target=contribution&id=9631114U849W145J","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:taf:emfitr:v:48:y:2012:i:0:p:24-39","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.2753/REE1540-496X48S202","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1566325108","https://openalex.org/W1691150555","https://openalex.org/W1879215575","https://openalex.org/W1935652809","https://openalex.org/W1965635191","https://openalex.org/W1966268097","https://openalex.org/W1984031927","https://openalex.org/W1986000555","https://openalex.org/W1994521901","https://openalex.org/W1996156350","https://openalex.org/W2002497463","https://openalex.org/W2034821769","https://openalex.org/W2044249474","https://openalex.org/W2054477007","https://openalex.org/W2055213915","https://openalex.org/W2065262383","https://openalex.org/W2067126594","https://openalex.org/W2070183565","https://openalex.org/W2071105713","https://openalex.org/W2076148007","https://openalex.org/W2084931349","https://openalex.org/W2087808967","https://openalex.org/W2111682960","https://openalex.org/W2118854883","https://openalex.org/W2129334443","https://openalex.org/W2152996431","https://openalex.org/W2977330347","https://openalex.org/W3121766225","https://openalex.org/W3122293068","https://openalex.org/W3123653015","https://openalex.org/W3125018527","https://openalex.org/W3125960409","https://openalex.org/W3126096712"],"related_works":["https://openalex.org/W2270728547","https://openalex.org/W2889970948","https://openalex.org/W2955086066","https://openalex.org/W1502197279","https://openalex.org/W2273980955","https://openalex.org/W2796205850","https://openalex.org/W1520262233","https://openalex.org/W3122293068","https://openalex.org/W759836311","https://openalex.org/W2770714080"],"abstract_inverted_index":{"This":[0],"paper":[1],"investigates":[2],"the":[3,21,27,30,43,51,58,91,99,114,118,122,128,133],"properties":[4],"and":[5,46,53,62,80,84,121],"information":[6],"contents":[7],"of":[8,39,57,94],"an":[9,74],"implied":[10,59,116],"volatility":[11,33,60,69,76,108],"index":[12,16,34,45,61],"based":[13],"on":[14,90],"Korea's":[15],"options":[17,24,47],"contract,":[18],"which":[19],"is":[20],"most":[22],"liquid":[23],"product":[25],"in":[26,136],"world.":[28],"Analyzing":[29],"recent":[31],"100-month-long":[32],"series":[35],"(VKOSPI;":[36],"Volatility":[37],"Index":[38],"KOSPI200)":[40],"constructed":[41],"using":[42],"KOSPI200":[44],"prices,":[48],"we":[49],"measure":[50],"in-sample":[52,130],"out-of-sample":[54],"forecasting":[55,137],"performances":[56],"examine":[63],"its":[64],"quality":[65],"as":[66,105],"a":[67,86],"market":[68],"indicator.":[70],"The":[71],"VKOSPI":[72,100],"exhibits":[73],"asymmetric":[75],"response":[77],"to":[78],"positive":[79,88],"negative":[81],"return":[82],"shocks":[83],"has":[85],"significantly":[87],"effect":[89],"explanatory":[92],"power":[93],"nested":[95],"GARCH":[96],"models.":[97],"Though":[98],"provides":[101],"slightly":[102],"biased":[103],"forecasts,":[104],"other":[106],"risk-adjusted":[107],"measures":[109],"also":[110],"do,":[111],"it":[112],"outperforms":[113],"Black-Scholes":[115],"volatility,":[117],"RiskMetrics":[119],"approach,":[120],"GJR-GARCH":[123],"model":[124],"(which":[125],"generally":[126],"shows":[127],"best":[129],"performance":[131],"among":[132],"GARCH-family":[134],"models)":[135],"future":[138],"realized":[139],"volatilities.":[140]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":12},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}