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{name} Model Equation

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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	0.8299	3.23***
αARCH	0.0390	2.45**
βGARCH	0.9134	30.36***

γ₁	-0.0858	-1.24
γ₂	0.1428	1.50
γ₃	-0.1248	-2.36**
γ₄	0.1079	3.47***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8299	3.23***
α ARCH Response to squared shocks	0.0390	2.45**
β GARCH Volatility persistence	0.9134	30.36***

γ₁	-0.0858	-1.24
γ₂	0.1428	1.50
γ₃	-0.1248	-2.36**
γ₄	0.1079	3.47***

V-Lab

First Trust India Nifty 50 Equ Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other First Trust India Nifty 50 Equ Analyses