India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Param	Value	t-stat
ωconst	1.4577	1.61
αARCH	0.3268	6.23***
βGARCH	0.6092	10.45***

γ₁	0.5782	0.03
γ₂	14.9616	0.32
γ₃	-56.6190	-1.05
γ₄	87.4295	1.63
γ₅	-71.0339	-2.00**
γ₆	33.1653	1.43
γ₇	-7.4621	-0.32
γ₈	-13.2325	-0.75
γ₉	25.0485	2.32**
γ₁₀	-16.9824	-2.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4577	1.61
α ARCH Response to squared shocks	0.3268	6.23***
β GARCH Volatility persistence	0.6092	10.45***

γ₁	0.5782	0.03
γ₂	14.9616	0.32
γ₃	-56.6190	-1.05
γ₄	87.4295	1.63
γ₅	-71.0339	-2.00**
γ₆	33.1653	1.43
γ₇	-7.4621	-0.32
γ₈	-13.2325	-0.75
γ₉	25.0485	2.32**
γ₁₀	-16.9824	-2.90***

V-Lab

RGF Capital Markets Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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