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	126
α ARCH Response to squared shocks	0.0484	10.54***
β GARCH Volatility persistence	0.8473	100.26***
γ leverage Additional response to negative shocks	0.0978	18.27***
λ₁ tau intercept Baseline long-term coefficient	0.3610	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.6221	0.73
λ₃ tau persistence Long-term factor persistence	0.3779	0.44

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Ecofinity Atomix Limited MF2-GARCH Volatility Analysis

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