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	31
α ARCH Response to squared shocks	0.4925	21.35***
β GARCH Volatility persistence	0.1019	6.70***
γ leverage Additional response to negative shocks	-0.3474	-10.35***
λ₁ tau intercept Baseline long-term coefficient	3.2920	0.72
λ₂ forecast adj. Forecast performance sensitivity	0.3795	0.76
λ₃ tau persistence Long-term factor persistence	0.4551	0.63

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