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
ωconst	1.3896	7.55***
αARCH	0.1275	4.21***
βGARCH	0.6064	7.64***

γ₁	0.2856	2.50**
γ₂	-0.2879	-1.57
γ₃	-0.1649	-1.22
γ₄	0.3423	3.35***
γ₅	-0.2406	-3.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3896	7.55***
α ARCH Response to squared shocks	0.1275	4.21***
β GARCH Volatility persistence	0.6064	7.64***

γ₁	0.2856	2.50**
γ₂	-0.2879	-1.57
γ₃	-0.1649	-1.22
γ₄	0.3423	3.35***
γ₅	-0.2406	-3.94***

V-Lab

Gujarat Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gujarat Energy Ltd Analyses