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
mwindow	31
αARCH	0.0000	0.00
βGARCH	0.1197	1.19
γleverage	0.5000	1.64
λ₁tau intercept	7.6900	0.58
λ₂forecast adj.	0.0152	0.23
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.1197	1.19
γ leverage Additional response to negative shocks	0.5000	1.64
λ₁ tau intercept Baseline long-term coefficient	7.6900	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.0152	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Carraro India Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Carraro India Limited Analyses