India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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{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	1.3578	4.26***
αARCH	0.2173	1.63
βGARCH	0.0988	0.31

γ₁	19.6722	1.71*
γ₂	-25.4754	-1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3578	4.26***
α ARCH Response to squared shocks	0.2173	1.63
β GARCH Volatility persistence	0.0988	0.31

γ₁	19.6722	1.71*
γ₂	-25.4754	-1.66*

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