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
mwindow	51
αARCH	0.1978
βGARCH	0.0398
γleverage	0.4896
λ₁tau intercept	3.0260
λ₂forecast adj.	0.1184
λ₃tau persistence	0.8687

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.1978
β GARCH Volatility persistence	0.0398
γ leverage Additional response to negative shocks	0.4896
λ₁ tau intercept Baseline long-term coefficient	3.0260
λ₂ forecast adj. Forecast performance sensitivity	0.1184
λ₃ tau persistence Long-term factor persistence	0.8687

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