India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1410	31.21***
β GARCH Volatility persistence	0.7825	54.10***
γ leverage Additional response to negative shocks	0.0278	4.21***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0958	0.00

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