India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	3.6235	1.33
αARCH	0.0860	1.07
βGARCH	0.6400	3.02***
γleverage	0.0600	0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.6235	1.33
α ARCH Response to squared shocks	0.0860	1.07
β GARCH Volatility persistence	0.6400	3.02***
γ leverage Additional response to negative shocks	0.0600	0.21

V-Lab

Apex Ecotech Limited GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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