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
ωlong-run	4.5208	2.13**
αscore	0.1324	3.13***
βpersistence	0.9122	21.13***
νDF	4.8783	1.17

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	4.5208	2.13**
α score Weight on the scaled score	0.1324	3.13***
β persistence Volatility persistence	0.9122	21.13***
ν DF Student-t tail thickness	4.8783	1.17

V-Lab

Gujarat Energy Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gujarat Energy Ltd Analyses