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	1.2394	6.94***
αARCH	0.1035	9.53***
βGARCH	0.8761	77.09***

γ₁	-0.0027	-2.03**
γ₂	0.0047	2.84***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2394	6.94***
α ARCH Response to squared shocks	0.1035	9.53***
β GARCH Volatility persistence	0.8761	77.09***

γ₁	-0.0027	-2.03**
γ₂	0.0047	2.84***

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National Stock Exchange CNX Nifty Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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