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	1.5098	3.39***
αARCH	0.0866	1.03
βGARCH	0.0000	0.00

γ₁	123.5680	1.61
γ₂	-233.2506	-1.82*
γ₃	296.4913	2.47**
γ₄	-486.0106	-2.76***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5098	3.39***
α ARCH Response to squared shocks	0.0866	1.03
β GARCH Volatility persistence	0.0000	0.00

γ₁	123.5680	1.61
γ₂	-233.2506	-1.82*
γ₃	296.4913	2.47**
γ₄	-486.0106	-2.76***

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Pngs Reva Diamond Jewellery Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pngs Reva Diamond Jewellery Ltd Analyses