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	0.7994	1.86*
αARCH	0.4245	2.47**
βGARCH	0.6612	4.04***
γleverage	0.2663	1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7994	1.86*
α ARCH Response to squared shocks	0.4245	2.47**
β GARCH Volatility persistence	0.6612	4.04***
γ leverage Additional response to negative shocks	0.2663	1.46

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Pngs Reva Diamond Jewellery Ltd EGARCH Volatility Analysis

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News Impact Curve

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