India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	6.40***
α ARCH Response to squared shocks	0.4852	3.06***
β GARCH Volatility persistence	0.2708	3.46***
γ leverage Additional response to negative shocks	-0.0897	-0.41

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Bai-Kakaji Polymers Ltd GJR-GARCH Volatility Analysis

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