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	0.0813	3.12***
β GARCH Volatility persistence	0.8355	12.36***
γ leverage Additional response to negative shocks	0.0608	2.47**
λ₁ tau intercept Baseline long-term coefficient	2.7607	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.0473	0.18
λ₃ tau persistence Long-term factor persistence	0.6923	0.57

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Concord Biotech Limited MF2-GARCH Volatility Analysis

Date Range:

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