India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	11.6532	1.73*
αARCH	0.1775	3.54***
βGARCH	0.8584	10.09***
νDF	3.3030	2.42**

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.6532	1.73*
α ARCH Response to squared shocks	0.1775	3.54***
β GARCH Volatility persistence	0.8584	10.09***
ν DF Student-t tail thickness	3.3030	2.42**

V-Lab

Airan Limited GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Airan Limited Analyses