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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0968	0.37
β GARCH Volatility persistence	0.7128	4.76***
γ leverage Additional response to negative shocks	-0.0968	-0.37
λ₁ tau intercept Baseline long-term coefficient	0.5567	0.09
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Avi Polymers Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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