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	1.0000	1.14
αARCH	0.2633	5.61***
βGARCH	0.6992	11.13***
γleverage	-0.0625	-0.95
δpower	1.8552	3.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.14
α ARCH Response to squared shocks	0.2633	5.61***
β GARCH Volatility persistence	0.6992	11.13***
γ leverage Additional response to negative shocks	-0.0625	-0.95
δ power Transformation power	1.8552	3.50***

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RGF Capital Markets Ltd Asy. Power MEM Volatility Analysis

Date Range:

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