India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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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	0.9536	4.94***
αARCH	0.1072	5.81***
βGARCH	0.7404	16.78***

γ₁	0.1254	1.27
γ₂	-0.3366	-2.39**
γ₃	0.4843	6.00***
γ₄	-0.4830	-6.91***
γ₅	0.3061	4.30***
γ₆	-0.1203	-1.66*
γ₇	0.0006	0.01
γ₈	0.0457	1.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9536	4.94***
α ARCH Response to squared shocks	0.1072	5.81***
β GARCH Volatility persistence	0.7404	16.78***

γ₁	0.1254	1.27
γ₂	-0.3366	-2.39**
γ₃	0.4843	6.00***
γ₄	-0.4830	-6.91***
γ₅	0.3061	4.30***
γ₆	-0.1203	-1.66*
γ₇	0.0006	0.01
γ₈	0.0457	1.00

V-Lab

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