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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0575	5.33***
α ARCH Response to squared shocks	0.2178	17.27***
β GARCH Volatility persistence	0.7655	55.14***
γ leverage Additional response to negative shocks	0.0290	1.18
δ power Transformation power	0.6069	4.01***

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Reliance Industries Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Reliance Industries Ltd Analyses