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	1.0000	1.33
αARCH	0.2208	1.80*
βGARCH	0.3828	0.95
γleverage	-0.1495	-0.31
δpower	0.6219	1.07

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.33
α ARCH Response to squared shocks	0.2208	1.80*
β GARCH Volatility persistence	0.3828	0.95
γ leverage Additional response to negative shocks	-0.1495	-0.31
δ power Transformation power	0.6219	1.07

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