India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1187	8.68***
β GARCH Volatility persistence	0.6841	18.14***
γ leverage Additional response to negative shocks	0.0156	0.87
λ₁ tau intercept Baseline long-term coefficient	7.0407	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.2831	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Bella Casa Fashion & Retail MF2-GARCH Volatility Analysis

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