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	4.1302	8.08***
αARCH	0.1798	1.29
βGARCH	-0.6769	-4.28***
γleverage	0.2508	1.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1302	8.08***
α ARCH Response to squared shocks	0.1798	1.29
β GARCH Volatility persistence	-0.6769	-4.28***
γ leverage Additional response to negative shocks	0.2508	1.36

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