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	3.9634	9.21***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.1545	4.19***
γ leverage Additional response to negative shocks	0.7352	4.52***

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Canara Robeco Asset Management Co Ltd/India GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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