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
ωlong-run	12.0647	1.58
αscore	0.0872	19.79***
βpersistence	0.9989	1,287.21***
νDF	7.6550	3.22***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	12.0647	1.58
α score Weight on the scaled score	0.0872	19.79***
β persistence Volatility persistence	0.9989	1,287.21***
ν DF Student-t tail thickness	7.6550	3.22***

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Date Range:

News Impact Curve

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