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	1.30
αARCH	0.2580	0.51
βGARCH	0.4455	1.33
γleverage	-0.1621	-0.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.30
α ARCH Response to squared shocks	0.2580	0.51
β GARCH Volatility persistence	0.4455	1.33
γ leverage Additional response to negative shocks	-0.1621	-0.28

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