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
mwindow	46
αARCH	0.5771	14.25***
βGARCH	0.3112	21.38***
γleverage	-0.5000	-12.26***
λ₁tau intercept	0.7838	26.43***
λ₂forecast adj.	1.0000	30.57***
λ₃tau persistence	0.0000	0.01

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.5771	14.25***
β GARCH Volatility persistence	0.3112	21.38***
γ leverage Additional response to negative shocks	-0.5000	-12.26***
λ₁ tau intercept Baseline long-term coefficient	0.7838	26.43***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	30.57***
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

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