India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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	11.9748	12.38***
αARCH	0.0924	3.67***
βGARCH	0.9275	39.73***
νDF	200.0000	0.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.9748	12.38***
α ARCH Response to squared shocks	0.0924	3.67***
β GARCH Volatility persistence	0.9275	39.73***
ν DF Student-t tail thickness	200.0000	0.06

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Harish Textile Engineers Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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