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	1.6744	2.14**
αARCH	0.1456	3.65***
βGARCH	0.7367	8.99***

γ₁	-2.0480	-0.69
γ₂	4.1438	0.88
γ₃	-4.4276	-1.12
γ₄	5.2102	1.63
γ₅	-6.5384	-2.35**
γ₆	7.2438	2.57**
γ₇	-6.5515	-1.62
γ₈	6.0920	1.29
γ₉	-5.3023	-1.67*
γ₁₀	2.8139	1.95*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6744	2.14**
α ARCH Response to squared shocks	0.1456	3.65***
β GARCH Volatility persistence	0.7367	8.99***

γ₁	-2.0480	-0.69
γ₂	4.1438	0.88
γ₃	-4.4276	-1.12
γ₄	5.2102	1.63
γ₅	-6.5384	-2.35**
γ₆	7.2438	2.57**
γ₇	-6.5515	-1.62
γ₈	6.0920	1.29
γ₉	-5.3023	-1.67*
γ₁₀	2.8139	1.95*

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