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	5.0000	1.73*
αARCH	0.4455	0.83
βGARCH	0.2797	0.99
γleverage	-0.0198	-0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.73*
α ARCH Response to squared shocks	0.4455	0.83
β GARCH Volatility persistence	0.2797	0.99
γ leverage Additional response to negative shocks	-0.0198	-0.02

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Bai-Kakaji Polymers Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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