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	3.3492
α ARCH Response to squared shocks	0.3413
β GARCH Volatility persistence	0.6587

γ₁	-9.7272
γ₂	38.4621
γ₃	-87.3601
γ₄	149.4781
γ₅	-189.4238
γ₆	177.9816
γ₇	-122.1516
γ₈	60.4189
γ₉	-25.7717

V-Lab

Ashika Global Securities Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ashika Global Securities Ltd Analyses