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	1.0062	5.88***
αARCH	0.0699	1.95*
βGARCH	0.8544	12.56***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0062	5.88***
α ARCH Response to squared shocks	0.0699	1.95*
β GARCH Volatility persistence	0.8544	12.56***

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Concord Biotech Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Concord Biotech Limited Analyses