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	11.0806	0.45
α ARCH Response to squared shocks	0.3150	1.71*
β GARCH Volatility persistence	0.6776	64.45***

γ₁	7.3667	0.19
γ₂	15.9523	0.32
γ₃	-80.1679	-4.84***
γ₄	145.1800	21.21***
γ₅	-175.9548	-31.20***
γ₆	149.0597	15.15***
γ₇	-98.8372	-7.17***
γ₈	57.5019	3.89***
γ₉	-26.2907	-1.37

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Ashika Global Securities Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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