India NSE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	4.3068	3.29***
αARCH	0.2696	2.21**
βGARCH	0.3493	3.54***
γleverage	-0.0673	-0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3068	3.29***
α ARCH Response to squared shocks	0.2696	2.21**
β GARCH Volatility persistence	0.3493	3.54***
γ leverage Additional response to negative shocks	-0.0673	-0.26

V-Lab

Airan Limited GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Airan Limited Analyses