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	0.0222	21.61***
α ARCH Response to squared shocks	0.0735	20.31***
β GARCH Volatility persistence	0.8870	423.61***
γ leverage Additional response to negative shocks	0.0723	10.54***

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National Stock Exchange CNX Nifty Index GJR-GARCH Volatility Analysis

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