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	1.69*
αARCH	0.4258	0.81
βGARCH	0.2800	0.97
γleverage	-0.0846	-0.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.69*
α ARCH Response to squared shocks	0.4258	0.81
β GARCH Volatility persistence	0.2800	0.97
γ leverage Additional response to negative shocks	-0.0846	-0.11

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Bai-Kakaji Polymers Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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