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	1.7021	4.82***
α ARCH Response to squared shocks	0.1489	6.71***
β GARCH Volatility persistence	0.7456	19.97***

γ₁	0.0446	0.59
γ₂	0.0134	0.13
γ₃	-0.2267	-3.45***
γ₄	0.3468	4.55***
γ₅	-0.2223	-1.95*
γ₆	0.0044	0.03
γ₇	0.1178	1.36
γ₈	-0.1283	-2.36**

V-Lab

Aqylon Nexus Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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