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	91
α ARCH Response to squared shocks	0.1410	31.19***
β GARCH Volatility persistence	0.7821	53.99***
γ leverage Additional response to negative shocks	0.0287	4.28***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0997	0.00

V-Lab

Aqylon Nexus Ltd MF2-GARCH Volatility Analysis

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