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	0.1190	8.74***
β GARCH Volatility persistence	0.6878	18.19***
γ leverage Additional response to negative shocks	0.0110	0.63
λ₁ tau intercept Baseline long-term coefficient	7.0233	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.2766	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Bella Casa Fashion & Retail MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bella Casa Fashion & Retail Analyses