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	0.9714	5.04***
α ARCH Response to squared shocks	0.1071	5.81***
β GARCH Volatility persistence	0.7384	16.51***

γ₁	0.1490	1.48
γ₂	-0.3784	-2.64***
γ₃	0.5144	6.29***
γ₄	-0.4948	-6.89***
γ₅	0.2985	4.05***
γ₆	-0.1082	-1.42
γ₇	0.0084	0.10
γ₈	-0.0042	-0.03

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Datamatics Global Services Spline-GARCH Volatility Analysis

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