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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1655	5.39***
α ARCH Response to squared shocks	0.0913	8.99***
β GARCH Volatility persistence	0.8789	72.59***

γ₁	-0.1340	-2.73***
γ₂	0.2568	3.52***
γ₃	-0.2533	-5.14***
γ₄	0.2508	5.17***
γ₅	-0.2031	-4.45***
γ₆	0.1022	2.52**
γ₇	0.0051	0.13
γ₈	-0.0489	-1.10
γ₉	0.0372	1.13

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S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P BSE SENSEX Index Analyses