NSE Quotes – Applicable Margin Rate
Under Value at Risk section of NSE Quotes the following fields are available.
Security VAR: This is the VaR of the security calculated as we discussed in ‘NSE Quotes – Value at Risk (VaR)’
Index VAR: It is the VaR of index. It is applicable only for Group II and Group III stocks.
VaR Margin: It is the higher of Security VaR and Index VaR. Usually the higher of the values is given under respective fields and the other one is not provided. This is simply equal to the value available either under Security VaR or Index VaR fields.
Extreme Loss Rate: It is the volatility value that obtained by considering last six months prices. Please read the relevant article for details.
Adhoc Margin: It’s the other margins that are applicable for a particular security other than VaR and Extreme Loss rate.
Applicable Margin Rate: It is the sum of VaR margin + Extreme Loss Rate + Adhoc Margin.
A copy of the values under this section is available under www.nse.com ->NSCCL ->Notifications -> Archives ->VaR
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