India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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	15.2087	2.01**
αARCH	0.1456	1.09
βGARCH	0.7503	3.16***
νDF	5.8545	0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	15.2087	2.01**
α ARCH Response to squared shocks	0.1456	1.09
β GARCH Volatility persistence	0.7503	3.16***
ν DF Student-t tail thickness	5.8545	0.34

V-Lab

Apex Ecotech Limited GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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