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	1.2854	5.31***
α ARCH Response to squared shocks	0.1305	1.62
β GARCH Volatility persistence	0.6162	1.95*

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Canara Robeco Asset Management Co Ltd/India Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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