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	27.2428	0.71
αARCH	0.2619	2.62***
βGARCH	0.9723	24.69***
νDF	9.5662	0.71

Parameter	Value	t-statistic
ω const Unconditional variance weight	27.2428	0.71
α ARCH Response to squared shocks	0.2619	2.62***
β GARCH Volatility persistence	0.9723	24.69***
ν DF Student-t tail thickness	9.5662	0.71

V-Lab

RGF Capital Markets Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RGF Capital Markets Ltd Analyses