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	21
αARCH	0.0654	1.60
βGARCH	0.8465	10.81***
γleverage	0.0444	0.46
λ₁tau intercept	2.9294	0.33
λ₂forecast adj.	0.0724	0.45
λ₃tau persistence	0.5952	0.59

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0654	1.60
β GARCH Volatility persistence	0.8465	10.81***
γ leverage Additional response to negative shocks	0.0444	0.46
λ₁ tau intercept Baseline long-term coefficient	2.9294	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0724	0.45
λ₃ tau persistence Long-term factor persistence	0.5952	0.59

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Concord Biotech Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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