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	0.1473	10.82***
β GARCH Volatility persistence	0.3533	9.69***
γ leverage Additional response to negative shocks	0.2825	9.03***
λ₁ tau intercept Baseline long-term coefficient	5.9099	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.4740	0.36
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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