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	3.1995	1.79*
αARCH	0.0744	14.67***
βGARCH	0.9955	449.03***
νDF	6.5268	3.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1995	1.79*
α ARCH Response to squared shocks	0.0744	14.67***
β GARCH Volatility persistence	0.9955	449.03***
ν DF Student-t tail thickness	6.5268	3.49***

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S&P BSE SENSEX Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P BSE SENSEX Index Analyses