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	1.0379	6.10***
α ARCH Response to squared shocks	0.1307	3.87***
β GARCH Volatility persistence	0.7826	12.33***

γ₁	0.0419	0.65
γ₂	-0.1320	-1.24
γ₃	0.1511	2.20**

V-Lab

Ambica Agarb & Aroma Ind Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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