KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0890	4.48***
α ARCH Response to squared shocks	0.0638	4.50***
β GARCH Volatility persistence	0.9290	55.76***

γ₁	-0.0076	-1.73*
γ₂	0.0110	2.05**

V-Lab

VT Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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