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	66
αARCH	0.0709	3.00***
βGARCH	0.6604	7.93***
γleverage	0.0594	1.72*
λ₁tau intercept	0.6135	0.91
λ₂forecast adj.	0.2584	1.06
λ₃tau persistence	0.5869	1.44

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0709	3.00***
β GARCH Volatility persistence	0.6604	7.93***
γ leverage Additional response to negative shocks	0.0594	1.72*
λ₁ tau intercept Baseline long-term coefficient	0.6135	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.2584	1.06
λ₃ tau persistence Long-term factor persistence	0.5869	1.44

V-Lab

Gujarat Energy Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gujarat Energy Ltd Analyses