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	1.4409	1.36
αARCH	0.2753	3.32***
βGARCH	0.6778	10.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4409	1.36
α ARCH Response to squared shocks	0.2753	3.32***
β GARCH Volatility persistence	0.6778	10.68***

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RGF Capital Markets Ltd MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RGF Capital Markets Ltd Analyses