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	12.7188	0.20
αARCH	0.0000	0.00
βGARCH	0.9860	1.63
νDF	3.7950	0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	12.7188	0.20
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9860	1.63
ν DF Student-t tail thickness	3.7950	0.19

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