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	0.5790	6.50***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7318	39.61***
γ leverage Additional response to negative shocks	0.4307	6.38***

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Canara Robeco Asset Management Co Ltd/India GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canara Robeco Asset Management Co Ltd/India Analyses