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	0.9884	4.84***
α ARCH Response to squared shocks	0.0451	2.40**
β GARCH Volatility persistence	0.8089	7.21***

γ₁	0.5833	0.66
γ₂	-0.2785	-0.21
γ₃	-1.2803	-1.21
γ₄	1.9647	1.90*
γ₅	-2.0083	-2.16**
γ₆	2.3152	2.27**
γ₇	-2.7288	-2.10**
γ₈	2.2502	1.76*
γ₉	-0.9306	-1.25

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Aster DM Quality Care Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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