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	0.3770	3.99***
α ARCH Response to squared shocks	0.1345	6.30***
β GARCH Volatility persistence	0.6777	13.20***
γ leverage Additional response to negative shocks	0.2529	2.98***
δ power Transformation power	1.0153	2.76***

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Canara Robeco Asset Management Co Ltd/India Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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