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	1.3941	6.50***
αARCH	0.0934	3.33***
βGARCH	0.5796	5.09***

γ₁	0.2969	0.62
γ₂	0.1549	0.17
γ₃	-0.7112	-0.76
γ₄	0.1344	0.18
γ₅	0.2941	0.59
γ₆	-0.7134	-1.60
γ₇	1.5206	3.97***
γ₈	-1.9876	-4.43***
γ₉	2.7612	4.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3941	6.50***
α ARCH Response to squared shocks	0.0934	3.33***
β GARCH Volatility persistence	0.5796	5.09***

γ₁	0.2969	0.62
γ₂	0.1549	0.17
γ₃	-0.7112	-0.76
γ₄	0.1344	0.18
γ₅	0.2941	0.59
γ₆	-0.7134	-1.60
γ₇	1.5206	3.97***
γ₈	-1.9876	-4.43***
γ₉	2.7612	4.45***

V-Lab

Gujarat Energy Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gujarat Energy Ltd Analyses