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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1066	3.18***
β GARCH Volatility persistence	0.6628	10.60***
γ leverage Additional response to negative shocks	-0.1066	-2.47**
λ₁ tau intercept Baseline long-term coefficient	6.3144	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.5702	0.08
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Apex Ecotech Limited MF2-GARCH Volatility Analysis

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