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	0.1606	2.67***
βGARCH	0.7372	9.51***
γleverage	-0.0907	-1.55
λ₁tau intercept	4.8998	1.43
λ₂forecast adj.	0.5463	2.82***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1606	2.67***
β GARCH Volatility persistence	0.7372	9.51***
γ leverage Additional response to negative shocks	-0.0907	-1.55
λ₁ tau intercept Baseline long-term coefficient	4.8998	1.43
λ₂ forecast adj. Forecast performance sensitivity	0.5463	2.82***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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