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	2.0749	5.54***
αARCH	0.1270	4.44***
βGARCH	0.6610	12.55***

γ₁	0.0209	0.24
γ₂	0.1301	0.91
γ₃	-0.2974	-2.35**
γ₄	0.2811	2.86***
γ₅	-0.2303	-3.03***
γ₆	0.1629	2.20**
γ₇	-0.0977	-1.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0749	5.54***
α ARCH Response to squared shocks	0.1270	4.44***
β GARCH Volatility persistence	0.6610	12.55***

γ₁	0.0209	0.24
γ₂	0.1301	0.91
γ₃	-0.2974	-2.35**
γ₄	0.2811	2.86***
γ₅	-0.2303	-3.03***
γ₆	0.1629	2.20**
γ₇	-0.0977	-1.53

V-Lab

India NSE Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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