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
ωlong-run	12.1852	0.06
αscore	0.0000	0.00
βpersistence	0.9851	0.40
νDF	4.2136	0.07

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	12.1852	0.06
α score Weight on the scaled score	0.0000	0.00
β persistence Volatility persistence	0.9851	0.40
ν DF Student-t tail thickness	4.2136	0.07

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Bai-Kakaji Polymers Ltd GAS-GARCH Student T Volatility Analysis

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