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	0.7065	3.49***
αARCH	0.1539	1.43
βGARCH	0.1401	0.72

γ₁	-33.3804	-4.29***
γ₂	48.2404	3.88***
γ₃	-14.9370	-1.39
γ₄	-5.6597	-0.52
γ₅	9.0428	1.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7065	3.49***
α ARCH Response to squared shocks	0.1539	1.43
β GARCH Volatility persistence	0.1401	0.72

γ₁	-33.3804	-4.29***
γ₂	48.2404	3.88***
γ₃	-14.9370	-1.39
γ₄	-5.6597	-0.52
γ₅	9.0428	1.19

V-Lab

Carraro India Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Carraro India Limited Analyses