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	0.0242	4.68***
β GARCH Volatility persistence	0.7350	18.27***
γ leverage Additional response to negative shocks	0.0702	9.13***
λ₁ tau intercept Baseline long-term coefficient	0.5669	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.1834	0.40
λ₃ tau persistence Long-term factor persistence	0.7241	1.03

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