KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0239	4.60***
β GARCH Volatility persistence	0.7337	18.58***
γ leverage Additional response to negative shocks	0.0710	9.19***
λ₁ tau intercept Baseline long-term coefficient	0.5774	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.1846	0.41
λ₃ tau persistence Long-term factor persistence	0.7209	1.05

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