India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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	5.0000	1.41
αARCH	0.2737	0.54
βGARCH	0.4288	1.37
γleverage	-0.1750	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.41
α ARCH Response to squared shocks	0.2737	0.54
β GARCH Volatility persistence	0.4288	1.37
γ leverage Additional response to negative shocks	-0.1750	-0.30

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