KOSPI 200 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0094	0.72
β GARCH Volatility persistence	0.6386	13.63***
γ leverage Additional response to negative shocks	0.1120	6.69***
λ₁ tau intercept Baseline long-term coefficient	3.0406	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.3135	0.10
λ₃ tau persistence Long-term factor persistence	0.4810	0.09

V-Lab

PSK Inc MF2-GARCH Volatility Analysis

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