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	1.5699	6.67***
αARCH	0.2217	7.77***
βGARCH	0.6471	18.77***
γleverage	0.0038	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5699	6.67***
α ARCH Response to squared shocks	0.2217	7.77***
β GARCH Volatility persistence	0.6471	18.77***
γ leverage Additional response to negative shocks	0.0038	0.02

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Mep Infrastructure Dev Ltd AGARCH Volatility Analysis

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