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	0.5808	10.78***
α ARCH Response to squared shocks	0.2702	37.09***
β GARCH Volatility persistence	0.4994	28.73***
γ leverage Additional response to negative shocks	-0.0169	-1.26
δ power Transformation power	0.8984	8.87***

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Aster DM Quality Care Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

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