India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.0000	0.01
γ leverage Additional response to negative shocks	0.5000	43.91***
λ₁ tau intercept Baseline long-term coefficient	1.0928	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7058	2.46**

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Canara Robeco Asset Management Co Ltd/India MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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