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	21
α ARCH Response to squared shocks	0.0473	11.83***
β GARCH Volatility persistence	0.7664	109.11***
γ leverage Additional response to negative shocks	0.1617	27.32***
λ₁ tau intercept Baseline long-term coefficient	0.0059	5.12***
λ₂ forecast adj. Forecast performance sensitivity	0.0488	7.86***
λ₃ tau persistence Long-term factor persistence	0.9491	145.89***

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