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	0.0674	4.09***
α ARCH Response to squared shocks	0.1298	17.10***
β GARCH Volatility persistence	0.8532	101.97***
γ leverage Additional response to negative shocks	0.0340	2.23**

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Avi Polymers Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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