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
ω const Unconditional variance weight	0.0839	9.15***
α ARCH Response to squared shocks	0.0733	8.13***
β GARCH Volatility persistence	0.8996	151.22***
γ leverage Additional response to negative shocks	0.0399	3.02***

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Integra Essentia Limited GJR-GARCH Volatility Analysis

Date Range:

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