KOSPI

$\mu$

$\alpha$

$\beta$

$\gamma$

m

${\theta }_1$

${\theta }_2$

$w_{2,1}$

$w_{2,2}$

LLH

AIC

BIC

Panel A: single-factor models

RV

0.028^**

(0.014)

0.010

(0.006)

0.836^***

(0.011)

0.177^***

(0.014)

−0.441^***

(0.066)

0.017^***

(0.001)

4.321^***

(0.601)

−6778.676

13571.351

13616.446

RV^rw

0.029^**

(0.014)

0.009

(0.007)

0.836^***

(0.011)

0.176^***

(0.014)

−0.447^***

(0.066)

0.016^***

(0.001)

4.643^***

(0.614)

−6725.334

13464.669

13509.725

ΔGEPU

0.022

(0.017)

0.033^***

(0.006)

0.901^***

(0.006)

0.105^***

(0.010)

0.485^***

(0.125)

−0.141^***

(0.036)

1.000^***

(0.126)

−6801.845

13617.691

13662.785

ΔGEPU^rw

0.024^*

(0.014)

0.032^***

(0.006)

0.900^***

(0.006)

0.106^***

(0.010)

0.420^***

(0.127)

−0.172^***

(0.038)

1.000^***

(0.113)

−6750.185

13514.371

13559.427

Panel B: two-factor models

RV + ΔGEPU

0.028^**

(0.014)

0.008

(0.006)

0.835^***

(0.011)

0.180^***

(0.014)

−0.424^***

(0.065)

0.018^***

(0.001)

−0.096^***

(0.025)

4.823^***

(0.650)

1.000^***

(0.161)

−6773.057

13564.115

13622.093

(RV + ΔGEPU)^rw

0.028^**

(0.014)

0.007

(0.006)

0.835^***

(0.011)

0.178^***

(0.014)

−0.428^***

(0.064)

0.017^***

(0.001)

−0.104^***

(0.023)

5.195^***

(0.650)

1.000^***

(0.146)

−6719.185

13456.369

13514.299