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	1.1641	5.42***
αARCH	0.0914	9.02***
βGARCH	0.8790	72.84***

γ₁	-0.1430	-2.97***
γ₂	0.2741	3.81***
γ₃	-0.2694	-5.53***
γ₄	0.2656	5.50***
γ₅	-0.2154	-4.70***
γ₆	0.1119	2.72***
γ₇	-0.0042	-0.10
γ₈	-0.0351	-0.66
γ₉	0.0071	0.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1641	5.42***
α ARCH Response to squared shocks	0.0914	9.02***
β GARCH Volatility persistence	0.8790	72.84***

γ₁	-0.1430	-2.97***
γ₂	0.2741	3.81***
γ₃	-0.2694	-5.53***
γ₄	0.2656	5.50***
γ₅	-0.2154	-4.70***
γ₆	0.1119	2.72***
γ₇	-0.0042	-0.10
γ₈	-0.0351	-0.66
γ₉	0.0071	0.11

V-Lab

S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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