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
ω const Unconditional variance weight	1.1439	2.18**
α ARCH Response to squared shocks	0.2500	4.76***
β GARCH Volatility persistence	0.3517	3.62***

γ₁	-0.4688	-1.28
γ₂	0.9099	1.83*
γ₃	-0.9490	-2.29**
γ₄	1.1189	3.04***
γ₅	-1.0826	-2.82***
γ₆	0.6483	2.14**

V-Lab

Airan Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

Parameter Estimates

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