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	0.5924	2.29**
αARCH	0.1125	1.49
βGARCH	0.8615	24.06***
γleverage	-0.0278	-0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5924	2.29**
α ARCH Response to squared shocks	0.1125	1.49
β GARCH Volatility persistence	0.8615	24.06***
γ leverage Additional response to negative shocks	-0.0278	-0.21

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G K P Printing & Packaging GJR-GARCH Volatility Analysis

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