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	0.1262	12.89***
β GARCH Volatility persistence	0.8245	67.73***
γ leverage Additional response to negative shocks	-0.0074	-0.58
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.4189	0.40
λ₃ tau persistence Long-term factor persistence	0.1183	0.05

V-Lab

Smcg Co Ltd MF2-GARCH Volatility Analysis

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