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	29.5205	0.67
αARCH	0.2690	2.59***
βGARCH	0.9740	25.20***
νDF	9.7582	0.69

Parameter	Value	t-statistic
ω const Unconditional variance weight	29.5205	0.67
α ARCH Response to squared shocks	0.2690	2.59***
β GARCH Volatility persistence	0.9740	25.20***
ν DF Student-t tail thickness	9.7582	0.69

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