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	0.8196	4.53***
αARCH	0.2652	1.91*
βGARCH	0.0128	0.08

γ₁	10.0008	1.37
γ₂	-30.6310	-2.30**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8196	4.53***
α ARCH Response to squared shocks	0.2652	1.91*
β GARCH Volatility persistence	0.0128	0.08

γ₁	10.0008	1.37
γ₂	-30.6310	-2.30**

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