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

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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	8.0486	1.46
αARCH	0.1956	6.52***
βGARCH	0.9990	1,575.71***
νDF	2.0000

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.0486	1.46
α ARCH Response to squared shocks	0.1956	6.52***
β GARCH Volatility persistence	0.9990	1,575.71***
ν DF Student-t tail thickness	2.0000

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