India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7798	3.41***
α ARCH Response to squared shocks	0.4260	1.55
β GARCH Volatility persistence	0.3610	1.15

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