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

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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	1.1659	2.17**
αARCH	0.2588	4.71***
βGARCH	0.3513	3.59***

γ₁	-0.4391	-1.20
γ₂	0.8578	1.72*
γ₃	-0.9086	-2.17**
γ₄	1.1086	2.99***
γ₅	-1.1515	-3.13***
γ₆	0.7549	2.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1659	2.17**
α ARCH Response to squared shocks	0.2588	4.71***
β GARCH Volatility persistence	0.3513	3.59***

γ₁	-0.4391	-1.20
γ₂	0.8578	1.72*
γ₃	-0.9086	-2.17**
γ₄	1.1086	2.99***
γ₅	-1.1515	-3.13***
γ₆	0.7549	2.61***

V-Lab

Airan Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Airan Limited Analyses