We examine volatility dynamics in the Korean market using heterogeneous autoregressive models with exogenous covariates. The COVID-19 pandemic and the Russia–Ukraine War have caused substantial fluctuations in energy prices. We assess how these energy shocks affect stock market-implied volatility in Korea, a representative energy-importing country. During the pre-pandemic period, domestic and U.S. market factors affect Korea's volatility dynamics, whereas crude oil and natural gas futures prices have little explanatory power for these dynamics. In contrast, during the pandemic (war), oil (natural gas) futures prices become the key explanatory variable, and other market factors lose their explanatory power.

中文翻译：

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能源进口国的能源价格冲击和股市波动

我们使用具有外生协变量的异质自回归模型来研究韩国市场的波动动态。COVID-19大流行和俄罗斯-乌克兰战争导致能源价格大幅波动。我们评估这些能源冲击如何影响具有代表性的能源进口国韩国股市的隐含波动性。疫情前期，国内和美国市场因素影响韩国的波动动态，而原油和天然气期货价格对这些动态的解释力不大。相比之下，疫情（战争）期间，石油（天然气）期货价格成为关键解释变量，其他市场因素失去解释力。