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	14.7765	0.97
αARCH	0.1537	0.40
βGARCH	0.4300	1.03
νDF	3.4191	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	14.7765	0.97
α ARCH Response to squared shocks	0.1537	0.40
β GARCH Volatility persistence	0.4300	1.03
ν DF Student-t tail thickness	3.4191	0.24

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Pngs Reva Diamond Jewellery Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pngs Reva Diamond Jewellery Ltd Analyses