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	0.1979	10.13***
α ARCH Response to squared shocks	0.2259	26.49***
β GARCH Volatility persistence	0.9229	91.21***
γ leverage Additional response to negative shocks	-0.0645	-5.78***

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Ashika Global Securities Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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