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	0.5950	5.06***
α ARCH Response to squared shocks	0.3319	1.70*
β GARCH Volatility persistence	0.0311	0.20

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Bai-Kakaji Polymers Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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