KOSPI 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2187	11.08***
β GARCH Volatility persistence	0.1820	4.95***
γ leverage Additional response to negative shocks	-0.0061	-0.20
λ₁ tau intercept Baseline long-term coefficient	1.3275	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.0841	0.36
λ₃ tau persistence Long-term factor persistence	0.8407	2.00**

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