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	61
α ARCH Response to squared shocks	0.1830	13.92***
β GARCH Volatility persistence	0.4787	21.98***
γ leverage Additional response to negative shocks	0.1785	6.90***
λ₁ tau intercept Baseline long-term coefficient	5.2291	0.15
λ₂ forecast adj. Forecast performance sensitivity	0.5446	0.15
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Xexymix Corp MF2-GARCH Volatility Analysis

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