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	2.9402	1.84*
αARCH	0.4346	1.54
βGARCH	0.5176	3.57***
γleverage	-0.3706	-1.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9402	1.84*
α ARCH Response to squared shocks	0.4346	1.54
β GARCH Volatility persistence	0.5176	3.57***
γ leverage Additional response to negative shocks	-0.3706	-1.17

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Pngs Reva Diamond Jewellery Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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