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	0.2523	5.78***
α ARCH Response to squared shocks	0.2838	9.61***
β GARCH Volatility persistence	0.8597	41.53***
γ leverage Additional response to negative shocks	-0.2142	-8.02***

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Canara Robeco Asset Management Co Ltd/India EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canara Robeco Asset Management Co Ltd/India Analyses