Modeling and Predicting the Market Volatility Index: The Case of  VKOSPI [Dataset]
<|begin_of_text|><|start_header_id|>system<|end_header_id|> You are a research archivist expert in dataset metadata. Answer the question truthfully.  <|eot_id|><|start_header_id|>user<|end_header_id|> Here is the Description of a dataset. Description:'The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) 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 augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results suggest that the dynamics of the VKOSPI is well described by the elaborate HAR framework and that some Korea’s macroeconomic variables significantly explain the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S&P 500 spot return and the VIX from S&P 500 options) play a key role in predicting the level of VKOSPI and explaining ' . Please return only a json list of at most 3 Keywords corresponding to the Description:.<|eot_id|><|start_header_id|>assistant<|end_header_id|> {"Answer" : ["Heterogeneous autoregressive (HAR) model","implied volatility index","KOSPI 200 options","VIX","VKOSPI"]} <|eot_id|>
 Here is the Description of a dataset. Description:'The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) 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 augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results suggest that the dynamics of the VKOSPI is well described by the elaborate HAR framework and that some Korea’s macroeconomic variables significantly explain the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S&P 500 spot return and the VIX from S&P 500 options) play a key role in predicting the level of VKOSPI and explaining ' . Please return only a json list of at most 3 Keywords corresponding to the Description:.
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) 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 augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results suggest that the dynamics of the VKOSPI is well described by the elaborate HAR framework and that some Korea’s macroeconomic variables significantly explain the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S&P 500 spot return and the VIX from S&P 500 options) play a key role in predicting the level of VKOSPI and explaining 
Heterogeneous autoregressive (HAR) model; implied volatility index; KOSPI 200 options; VIX; VKOSPI