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	21
α ARCH Response to squared shocks	0.0855	3.33***
β GARCH Volatility persistence	0.8354	13.87***
γ leverage Additional response to negative shocks	0.0643	2.60***
λ₁ tau intercept Baseline long-term coefficient	2.4057	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.0360	0.20
λ₃ tau persistence Long-term factor persistence	0.7442	0.96

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