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	149.3663	7.07***
α ARCH Response to squared shocks	0.1359	176.94***
β GARCH Volatility persistence	0.9990	6,889.66***
ν DF Student-t tail thickness	2.0003

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Ambica Agarb & Aroma Ind GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ambica Agarb & Aroma Ind Analyses