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	1.1561	2.18**
α ARCH Response to squared shocks	0.2547	4.66***
β GARCH Volatility persistence	0.3544	3.61***

γ₁	-0.4545	-1.24
γ₂	0.8851	1.78*
γ₃	-0.9324	-2.24**
γ₄	1.1264	3.05***
γ₅	-1.1499	-3.06***
γ₆	0.7421	2.48**

V-Lab

Airan Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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