India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0291	2.92***
β GARCH Volatility persistence	0.6183	10.77***
γ leverage Additional response to negative shocks	0.0674	4.63***
λ₁ tau intercept Baseline long-term coefficient	1.1886	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.6645	0.05
λ₃ tau persistence Long-term factor persistence	0.0693	0.00

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