India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6567	1.87*
α ARCH Response to squared shocks	0.2682	4.00***
β GARCH Volatility persistence	0.3061	3.04***

γ₁	0.5771	0.76
γ₂	-1.1647	-1.28
γ₃	1.5562	3.25***
γ₄	-1.8309	-3.39***
γ₅	1.3714	2.20**
γ₆	-0.8004	-1.06
γ₇	0.4271	0.74

V-Lab

Adani Green Energy Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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