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	1.2403	3.34***
αARCH	0.1574	3.23***
βGARCH	0.7315	12.63***
γleverage	-0.0288	-0.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2403	3.34***
α ARCH Response to squared shocks	0.1574	3.23***
β GARCH Volatility persistence	0.7315	12.63***
γ leverage Additional response to negative shocks	-0.0288	-0.32

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Bella Casa Fashion & Retail GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bella Casa Fashion & Retail Analyses