India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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	6.7242	0.78
αARCH	0.0538	0.64
βGARCH	0.9079	9.07***
νDF	4.1974	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.7242	0.78
α ARCH Response to squared shocks	0.0538	0.64
β GARCH Volatility persistence	0.9079	9.07***
ν DF Student-t tail thickness	4.1974	0.24

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Concord Biotech Limited GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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