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	1.0480	6.22***
α ARCH Response to squared shocks	0.1473	4.77***
β GARCH Volatility persistence	0.5738	7.74***

γ₁	0.0076	0.02
γ₂	0.1830	0.38
γ₃	-0.3079	-0.94
γ₄	-0.0903	-0.29
γ₅	0.4869	1.69*
γ₆	-0.3113	-1.18
γ₇	-0.3014	-1.14
γ₈	0.8309	3.08***
γ₉	-0.8513	-3.32***
γ₁₀	0.4773	2.82***

V-Lab

Albert David Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Albert David Analyses