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	21
αARCH	0.1573	4.15***
βGARCH	0.4316	3.36***
γleverage	-0.0367	-0.96
λ₁tau intercept	2.8256	0.79
λ₂forecast adj.	0.2141	0.77
λ₃tau persistence	0.5398	0.92

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1573	4.15***
β GARCH Volatility persistence	0.4316	3.36***
γ leverage Additional response to negative shocks	-0.0367	-0.96
λ₁ tau intercept Baseline long-term coefficient	2.8256	0.79
λ₂ forecast adj. Forecast performance sensitivity	0.2141	0.77
λ₃ tau persistence Long-term factor persistence	0.5398	0.92

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Harish Textile Engineers Ltd MF2-GARCH Volatility Analysis

Date Range:

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