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	5.7357	3.72***
αARCH	0.3361	2.10**
βGARCH	0.1009	1.18
γleverage	-2.1535	-2.11**

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.7357	3.72***
α ARCH Response to squared shocks	0.3361	2.10**
β GARCH Volatility persistence	0.1009	1.18
γ leverage Additional response to negative shocks	-2.1535	-2.11**

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