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	2.0739	5.54***
αARCH	0.1267	4.45***
βGARCH	0.6617	12.66***

γ₁	0.0213	0.25
γ₂	0.1288	0.90
γ₃	-0.2957	-2.34**
γ₄	0.2804	2.85***
γ₅	-0.2311	-3.05***
γ₆	0.1649	2.25**
γ₇	-0.0994	-1.59

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0739	5.54***
α ARCH Response to squared shocks	0.1267	4.45***
β GARCH Volatility persistence	0.6617	12.66***

γ₁	0.0213	0.25
γ₂	0.1288	0.90
γ₃	-0.2957	-2.34**
γ₄	0.2804	2.85***
γ₅	-0.2311	-3.05***
γ₆	0.1649	2.25**
γ₇	-0.0994	-1.59

V-Lab

India NSE Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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