India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1631	4.07***
α ARCH Response to squared shocks	0.0805	9.13***
β GARCH Volatility persistence	0.8782	147.59***
γ leverage Additional response to negative shocks	0.0776	4.57***

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Ashika Global Securities Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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