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	1.1554	5.39***
α ARCH Response to squared shocks	0.0914	9.00***
β GARCH Volatility persistence	0.8789	72.69***

γ₁	-0.1464	-3.01***
γ₂	0.2802	3.87***
γ₃	-0.2740	-5.58***
γ₄	0.2681	5.53***
γ₅	-0.2148	-4.67***
γ₆	0.1089	2.64***
γ₇	-0.0010	-0.02
γ₈	-0.0388	-0.72
γ₉	0.0278	0.39

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S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

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