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	26
α ARCH Response to squared shocks	0.2327	21.90***
β GARCH Volatility persistence	0.4728	13.21***
γ leverage Additional response to negative shocks	-0.1068	-7.44***
λ₁ tau intercept Baseline long-term coefficient	2.2271	0.55
λ₂ forecast adj. Forecast performance sensitivity	0.2443	0.55
λ₃ tau persistence Long-term factor persistence	0.5358	0.63

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Diana Tea Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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