India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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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	0.5967	2.09**
αARCH	0.1277	6.32***
βGARCH	0.8348	32.52***
γleverage	0.0638	1.13
δpower	2.0890	5.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5967	2.09**
α ARCH Response to squared shocks	0.1277	6.32***
β GARCH Volatility persistence	0.8348	32.52***
γ leverage Additional response to negative shocks	0.0638	1.13
δ power Transformation power	2.0890	5.61***

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Harish Textile Engineers Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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