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	1.5487	6.73***
α ARCH Response to squared shocks	0.2706	6.65***
β GARCH Volatility persistence	0.4923	6.69***

γ₁	1.3262	6.78***
γ₂	-1.8854	-6.72***
γ₃	0.6793	4.35***
γ₄	-0.1323	-1.18

V-Lab

Chandni Machines Private Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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