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	21
α ARCH Response to squared shocks	0.2066	24.87***
β GARCH Volatility persistence	0.4568	6.12***
γ leverage Additional response to negative shocks	-0.0831	-10.34***
λ₁ tau intercept Baseline long-term coefficient	5.4195	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.2999	0.29
λ₃ tau persistence Long-term factor persistence	0.1101	0.05

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