India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

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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	1.4063	7.14***
αARCH	0.2504	1.05
βGARCH	0.0000	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4063	7.14***
α ARCH Response to squared shocks	0.2504	1.05
β GARCH Volatility persistence	0.0000	0.00

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Victory Electric Vehicles International Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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