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	0.8096	1.44
αARCH	0.0594	1.16
βGARCH	0.7856	8.84***
γleverage	0.1179	0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8096	1.44
α ARCH Response to squared shocks	0.0594	1.16
β GARCH Volatility persistence	0.7856	8.84***
γ leverage Additional response to negative shocks	0.1179	0.49

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Concord Biotech Limited GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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