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	1.1762	2.17**
αARCH	0.2607	4.79***
βGARCH	0.3522	3.65***

γ₁	-0.4211	-1.16
γ₂	0.8263	1.66*
γ₃	-0.8798	-2.10**
γ₄	1.0806	2.91***
γ₅	-1.1332	-3.13***
γ₆	0.7481	2.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1762	2.17**
α ARCH Response to squared shocks	0.2607	4.79***
β GARCH Volatility persistence	0.3522	3.65***

γ₁	-0.4211	-1.16
γ₂	0.8263	1.66*
γ₃	-0.8798	-2.10**
γ₄	1.0806	2.91***
γ₅	-1.1332	-3.13***
γ₆	0.7481	2.65***

V-Lab

Airan Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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