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	7.6463	3.09***
α ARCH Response to squared shocks	0.1823	2.58***
β GARCH Volatility persistence	0.7551	9.97***
ν DF Student-t tail thickness	3.9338	1.64

V-Lab

Canara Robeco Asset Management Co Ltd/India GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canara Robeco Asset Management Co Ltd/India Analyses