CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.8405	3.25***
αARCH	0.0394	2.48**
βGARCH	0.9134	30.86***

γ₁	-0.0800	-1.19
γ₂	0.1314	1.42
γ₃	-0.1118	-2.20**
γ₄	0.0964	3.25***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8405	3.25***
α ARCH Response to squared shocks	0.0394	2.48**
β GARCH Volatility persistence	0.9134	30.86***

γ₁	-0.0800	-1.19
γ₂	0.1314	1.42
γ₃	-0.1118	-2.20**
γ₄	0.0964	3.25***

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