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	91
α ARCH Response to squared shocks	0.2046	26.45***
β GARCH Volatility persistence	0.7260	95.76***
γ leverage Additional response to negative shocks	-0.0379	-8.31***
λ₁ tau intercept Baseline long-term coefficient	0.9816	1.09
λ₂ forecast adj. Forecast performance sensitivity	0.8921	29.05***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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