India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	0.6233	0.67
αARCH	0.2566	3.17***
βGARCH	0.5071	2.63***
γleverage	-0.3509	-2.26**
δpower	0.5389	0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6233	0.67
α ARCH Response to squared shocks	0.2566	3.17***
β GARCH Volatility persistence	0.5071	2.63***
γ leverage Additional response to negative shocks	-0.3509	-2.26**
δ power Transformation power	0.5389	0.64

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Date Range:

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