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	0.0178	16.93***
α ARCH Response to squared shocks	0.2158	42.31***
β GARCH Volatility persistence	0.9824	1,196.57***
γ leverage Additional response to negative shocks	-0.0530	-13.16***

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National Stock Exchange CNX Nifty Index EGARCH Volatility Analysis

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