India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2622	14.45***
β GARCH Volatility persistence	0.3781	18.05***
γ leverage Additional response to negative shocks	-0.0384	-1.25
λ₁ tau intercept Baseline long-term coefficient	4.6979	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.5256	0.99
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Airan Limited MF2-GARCH Volatility Analysis

Date Range:

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