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	0.0699	3.11***
β GARCH Volatility persistence	0.8345	12.25***
γ leverage Additional response to negative shocks	0.0716	2.73***
λ₁ tau intercept Baseline long-term coefficient	2.8030	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.0535	0.18
λ₃ tau persistence Long-term factor persistence	0.6622	0.45

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Concord Biotech Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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