India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5132	14.94***
α ARCH Response to squared shocks	0.2374	36.47***
β GARCH Volatility persistence	0.7520	118.90***
γ leverage Additional response to negative shocks	-0.0427	-1.11

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Chandni Machines Private Ltd AGARCH Volatility Analysis

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