India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0976	19.30***
β GARCH Volatility persistence	0.7725	75.58***
γ leverage Additional response to negative shocks	0.0313	2.97***
λ₁ tau intercept Baseline long-term coefficient	0.0807	2.10**
λ₂ forecast adj. Forecast performance sensitivity	0.0223	3.56***
λ₃ tau persistence Long-term factor persistence	0.9710	106.68***

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Datamatics Global Services MF2-GARCH Volatility Analysis

Date Range:

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