From the picture, it looks like an air core inductor. The switching frequency of the circuit is quite low (62kHz). More usual would be ferrite core inductor, however, I can’t say if that makes any difference.
I usually buy these things ready made, however I did make one for a Nixie clock power supply which could produce up to 350volts. It used a 555 timer based design and not controlled directly fro an Arduino.